The Stochastic Alpha Beta Rho Stochastic Volatility (SABR-SV) model is widely used in the financial industry for the pricing of fixed income instruments. In this paper we develop a low-bias simulation scheme for the SABR-SV model, which deals efficiently with (undesired) possible negative values...

For an efficient computation of the counterparty credit exposure profiles of the multi-asset options, a simulation-based method, named the Stochastic Grid Bundling Method (SGBM), is applied. The method is based on a 'regression later' technique used for the conditional expectation approximation...