Copertina

Function approximations for counterparty credit exposure calculations

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Demeterfi, Domagoj, Glau, Kathrin, Wunderlich, Linus
Natura:	Preprint
Pubblicazione:	2025
Soggetti:	Computational Finance
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Numerical methods for lambda quantiles: robust evaluation and portfolio optimisation
di: Peri, Ilaria, et al.
Pubblicazione: (2026)

Systemic risk in markets with multiple central counterparties
di: Luitgard Anna Maria Veraart, et al.
Pubblicazione: (2024)

Finding Near-Optimal Portfolios With Quality-Diversity
di: Gašperov, Bruno, et al.
Pubblicazione: (2024)

Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
di: Kathrin Glau

Innovations in Quantitative Risk Management TU München, September 2013
di: Kathrin Glau

The role of physical models in the validation and calibration of numerical models -- The example of the Lillebælt Bridge
di: Wunderlich, Paula Apollonia, et al.
Pubblicazione: (2026)

CAD-Integrated Electrostatic Boundary Element Simulations with Non-Conforming Higher-Order Meshes
di: Marussig, Benjamin, et al.
Pubblicazione: (2025)

Efficient calibration of the shifted square-root diffusion model to credit default swap spreads using asymptotic approximations
di: Agarwal, Ankush, et al.
Pubblicazione: (2024)

Geometric Uncertainty of Patient-Specific Blood Vessels and its Impact on Aortic Hemodynamics
di: Bošnjak, Domagoj, et al.
Pubblicazione: (2024)

Unleashing the power of text for credit default prediction: Comparing human-written and generative AI-refined texts
di: Wu, Zongxiao, et al.
Pubblicazione: (2025)

New approximate stochastic dominance approaches for Enhanced Indexation models
di: Cesarone, Francesco, et al.
Pubblicazione: (2024)

Quantum credit loans
di: Ardenghi, Juan Sebastian
Pubblicazione: (2020)

A machine learning workflow to address credit default prediction
di: Rahmani, Rambod, et al.
Pubblicazione: (2024)

Failure of Fourier pricing techniques to approximate the Greeks
di: Behrens, Tobias, et al.
Pubblicazione: (2023)

A generalization of the rational rough Heston approximation
di: Gatheral, Jim, et al.
Pubblicazione: (2023)

Computing Black Scholes with Uncertain Volatility-A Machine Learning Approach
di: Hellmuth, Kathrin, et al.
Pubblicazione: (2022)

Vault as a credit instrument
di: Zbandut, Anastasiia, et al.
Pubblicazione: (2026)

A dimension reduction approach for loss valuation in credit risk modelling
di: He, Jian, et al.
Pubblicazione: (2023)

Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
di: Juliá, Álvaro Guinea, et al.
Pubblicazione: (2024)

Grouped approximate control variate estimators
di: Gorodetsky, Alex A., et al.
Pubblicazione: (2024)

Health-promoting Potential of Parks in 35 Cities Worldwide
di: Dietz, Linus W., et al.
Pubblicazione: (2024)

Carbon assurance: Does it have an impact on credit ratings?
di: Md Safiullah, et al.
Pubblicazione: (2025)

A weak MLMC scheme for Lévy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives
di: Mijatović, Aleksandar, et al.
Pubblicazione: (2022)

Extending the application of dynamic Bayesian networks in calculating market risk: Standard and stressed expected shortfall
di: Gross, Eden, et al.
Pubblicazione: (2025)

Exploiting Distributional Value Functions for Financial Market Valuation, Enhanced Feature Creation and Improvement of Trading Algorithms
di: Grab, Colin D.
Pubblicazione: (2024)

Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
di: He, Jian, et al.
Pubblicazione: (2025)

Assessing skin thermal injury risk in exposure tests of heating until flight
di: Wang, Hongyun, et al.
Pubblicazione: (2024)

Decoding RWA Tokenized U.S. Treasuries: Functional Dissection and Address Role Inference
di: Luo, Junliang, et al.
Pubblicazione: (2025)

Environmental protection tax and trade credit: Evidence from China
di: Xueyao Lu, et al.
Pubblicazione: (2024)

The role of diversification in stabilizing bank credit over the business cycle
di: Mirzet Šeho, et al.
Pubblicazione: (2024)

Production flexibility and trade credit under revenue uncertainty
di: Nicos Koussis, et al.
Pubblicazione: (2024)

An approximate block factorization preconditioner for mixed-dimensional beam-solid interaction
di: Firmbach, Max, et al.
Pubblicazione: (2024)

Enhancing path-integral approximation for non-linear diffusion with neural network
di: Knezevic, Anna
Pubblicazione: (2024)

Competitive algorithms for calculating the ground state properties of Bose-Fermi mixtures
di: Świsłocki, Tomasz, et al.
Pubblicazione: (2025)

Beggars cannot be choosers? Legitimacy deficiency and the use of trade credit by family firms
di: Qi Wu, et al.
Pubblicazione: (2024)

Reliability comparison of vessel trajectory prediction models via Probability of Detection
di: Rastin, Zahra, et al.
Pubblicazione: (2025)

Markov-Functional Models with Local Drift
di: Zhou, ShengQuan
Pubblicazione: (2024)

Are project finance loans different from other syndicated credits?
di: Stefanie Kleimeier, et al.
Pubblicazione: (2025)

Why do firms extend trade credit? The role of inventories
di: Filipa Da Silva Fernandes, et al.
Pubblicazione: (2024)

A predictor-corrector scheme for approximating signed distances using finite element methods
di: Bachari, Amina El, et al.
Pubblicazione: (2025)