Browsing Mathematics (Faculty of) by Author "Sun, Yuwei"
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An Optimized Least Squares Monte Carlo Approach to Calculate Credit Exposures for Asian and Barrier Options
Sun, Yuwei (University of Waterloo, 2015-09-16)Counterparty credit risk management has become an important issue for financial institutions since the Basel III framework was introduced. Expected exposure (EE) is defined as the average (positive) exposure at a future ...