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Modelling, Pricing, and Hedging Counterparty Credit Exposure - Cesari, Giovanni a Aquilina, John a Charpillon, Niels a Filipovic, Zlatko a Lee, Gordon a Manda, Ion
It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm.