Showing 2015Show all
2 papers · 1 filter
q-fin.CP2015
A computational spectral approach to interest rate models
Luca Di Persio, Michele Bonollo, Gregorio Pellegrini
The Polynomial Chaos Expansion (PCE) technique recovers a finite second order random variable exploiting suitable linear combinations of orthogonal polynomials which are functions…
q-fin.PR2015
A Quantization Approach to the Counterparty Credit Exposure Estimation
M. Bonollo, L. Di Persio, I. Oliva +1
During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfi…