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Journals
International Journal of Applied Mathematics and Computer Science
Volume 27 (2017): Issue 2 (June 2017)
Open Access
Estimating the Counterparty Risk Exposure by Using the Brownian Motion Local Time
Michele Bonollo
Michele Bonollo
,
Luca Di Persio
Luca Di Persio
,
Luca Mammi
Luca Mammi
and
Immacolata Olivad
Immacolata Olivad
| Jul 08, 2017
International Journal of Applied Mathematics and Computer Science
Volume 27 (2017): Issue 2 (June 2017)
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Published Online:
Jul 08, 2017
Page range:
435 - 447
Received:
Nov 30, 2016
Accepted:
Feb 04, 2017
DOI:
https://doi.org/10.1515/amcs-2017-0030
Keywords
counterparty credit risk
,
exposure at default
,
local times Brownian motion
,
over-the-counter derivatives
,
Basel financial framework
© by Luca Di Persio
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
Michele Bonollo
IMT Lucca/Iason Ltd/Numerix LLC Piazza S. Francesco 19, 55100 Lucca (LU), Via Torino 2, 20123
Milan, Italy
Luca Di Persio
Department of Computer Science University of Verona, Strada le Grazie 15, 37134
Verona, Italy
Luca Mammi
Unicredit Group Tower A, Piazza Gae Aulenti, 3, 20154
Milan, Italy
Immacolata Olivad
Department of Economics University of Verona, Via Cantarane 24, 30129
Verona, Italy