Computing credit valuation adjustment solving coupled PIDEs in the Bates model.

Ludovic Goudenège Andrea Molent Antonino Zanette

Published in: Comput. Manag. Sci. (2020)

Keyphrases

computational model
objective function
mathematical model
probability distribution
autoregressive
sensitivity analysis
conceptual model
statistical model
neural network
high level
information systems
management system
cost function
prior knowledge
case study
formal model
genetic algorithm