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Counterparty Credit Exposures for Interest Rate Derivatives Using the Stochastic Grid Bundling Method
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Counterparty Credit Exposures for Interest Rate Derivatives Using the Stochastic Grid Bundling Method (2014)Counterparty Credit Exposures for Interes…Counterparty Credit Risk, Collateral and Funding (2013)Counterparty Credit Risk, Col…CVA and Wrong-Way Risk (2012)CVA and Wrong-Way RiskTRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (2009)TRUE UPPER BOUNDS FOR BERMUDA…Interest rate models : theory and practice : with smile, inflation and credit (2006)Interest rate models : theory…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Pricing American Options: A Duality Approach (2004)Pricing American Options: A D…Number of paths versus number of basis functions in American option pricing (2004)Number of paths versus number…A stochastic mesh method for pricing high-dimensional American options (2004)A stochastic mesh method for …Valuing American Options in a Path Simulation Model (2002)Valuing American Options in a…Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…An analysis of a least squares regression method for American option pricing (2002)An analysis of a least square…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model (2000)A simple approach to the pric…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Numerical Methods in Economics (1998)Monte Carlo Methods in Financial Engineering (2003)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Pricing American-style securities using simulation (1997)Regression methods for pricing complex American-style options (2001)A Monte Carlo Method for Optimal Portfolios (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time (1992)Monte Carlo methods for security pricing (1997)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)New frontiers for arch models (2002)Theory of rational option pricing (2005)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)Information Relaxations and Duality in Stochastic Dynamic Programs (2010)Martingales and arbitrage in multiperiod securities markets (1979)Dynamic Asset Pricing Theory. (1993)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)A comparison of biased simulation schemes for stochastic volatility models (2009)Handbook of Financial Engineering (2008)COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)
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References

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2006Interest rate models : theory and practice : with smile, inflation and credit742 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 cited
  • 2004Pricing American Options: A Duality Approach459 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2004A stochastic mesh method for pricing high-dimensional American options356 cited
  • 2002An analysis of a least squares regression method for American option pricing344 cited
  • 2002Valuing American Options in a Path Simulation Model284 cited
  • 2013Counterparty Credit Risk, Collateral and Funding176 cited
  • 2000A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model156 cited
  • 2004Number of paths versus number of basis functions in American option pricing151 cited
  • 2012CVA and Wrong-Way Risk

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108 cited
  • 2009TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO91 cited
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