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Real Time Counterparty Credit Risk Management in Monte Carlo

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References

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2008Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps102 cited
2004Rapid and accurate development of prices and Greeks for n th to default credit swaps in the Li model56 cited
2011Algorithmic Differentiation: Adjoint Greeks Made Easy41 cited

Cited by

2014Adjoint algorithmic differentiation: calibration and implicit function theorem24 cited
2011Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance24 cited
2017AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks17 cited

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