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A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting.
Thomas van der Zwaard
Lech A. Grzelak
Cornelis W. Oosterlee
Published in:
Appl. Math. Comput. (2021)
Keyphrases
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credit scoring
long term
credit card
real time
real world
genetic algorithm
multiscale
exchange rate
risk analysis