Efficient Computation of Exposure Profiles for Counterparty Credit Risk
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Elsevier BV
Reference17 articles.
1. Simple and efficient simulation of the Heston stochastic volatility model;L Andersen;Journal of Computational Finance,2008
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1. Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework;SSRN Electronic Journal;2020
2. Rolling Adjoints : Fast Greeks Along Monte Carlo Scenarios for Early-Exercise Options;SSRN Electronic Journal;2017
3. Efficient XVA Computation under Local LLvy Models;SSRN Electronic Journal;2016
4. Liquidity Risk in Derivatives Valuation: An Improved Credit Proxy Method;SSRN Electronic Journal;2016
5. Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte-Carlo Method;SSRN Electronic Journal;2014
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