A computational approach to hedging Credit Valuation...

Applied Mathematics and Computation 2021 / 02 Vol. 391

A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting

van der Zwaard, Thomas, Grzelak, Lech A., Oosterlee, Cornelis W.
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Volume:
391
Journal:
Applied Mathematics and Computation
DOI:
10.1016/j.amc.2020.125671
Date:
February, 2021
File:
PDF, 3.43 MB
2021
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