Latest Blog Posts
American MC for XVAs: Joshi’s trick vs standard
Joshi and Kwong in this paper propose a strategy for calculating XVAs in American Monte-Carlo that avoids using the regression to calculate directl...
Collateral Discounting and CTD Curves
As far as we can see there seems to be an agreement for discounting cash-flows in currency CY1, collateralized in currency CY2, using the CY1 cross-cu...
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