CVA Calculations in Consistent Models

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：zoudfeng

【摘要】

：

　　Asset prices are usually modeled via SDEs.Implementing such a model,different discrete approximations are performed: 1)a forward PDE is discretised for cali

【作者】

：

BaldeauxJan;

【机构】

：

Danske Bank

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　Asset prices are usually modeled via SDEs.Implementing such a model,different discrete approximations are performed: 1)a forward PDE is discretised for calibration 2)a backward PDE is discretised to price American options 3)an MC scheme is discretised to price path-dependent products.

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CVA Calculations in Consistent Models

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