Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/1350486X.2016.1226144
Reference28 articles.
1. A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
2. Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
3. An iterative method for multiple stopping: convergence and stability
4. Counterparty Credit Risk, Collateral and Funding
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