The homotopy analysis method for derivatives pricing under wrong-way risk
Derivatives pricing is approximated with a computationally efficient homotopy-based application that accounts for WWR
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The valuation of wrong-way risk is a challenging task in the financial industry. In this article, Takayuki Sakuma applies the homotopy analysis method to semi-linear partial differential equations to derive an analytical approximation formula that can be computed efficiently
Wrong-way risk (WWR), which is the risk that captures the positive correlation between exposures and the default probability of the counterparty, has received a great deal of attention as a
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