Qian Feng

Center for Mathematics and Computer Science (CWI)

PhD candidate

P.O. Box 94079

Amsterdam, NL-1090 GB

Netherlands

  • Center for Mathematics and Computer Science (CWI)

SCHOLARLY PAPERS

3

DOWNLOADS

1,048

TOTAL CITATIONS

3

Scholarly Papers (3)

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1.

Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions

Number of pages: 28 Posted: 07 Jun 2016 Last Revised: 04 Jul 2016
Qian Feng, Shashi Jain, Patrik Karlsson, Drona Kandhai and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), Indian Institute of Science (IISc) - Deptartment of Management Studies, drkarlsson.com, University of Amsterdam and Utrecht University - Faculty of Science
Downloads 545 (110,494)

Abstract:

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credit valuation adjustment, CVA, Bermudan swaption EE, PFE, risk-neutral measure, real-world measure

2.

Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models

FIC: Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science, 2015
Number of pages: 25 Posted: 16 Sep 2014 Last Revised: 07 Jun 2016
Qian Feng and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) and Utrecht University - Faculty of Science
Downloads 316 (206,952)
Citation 2

Abstract:

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Credit valuation adjustment (CVA), exposure profiles, stochastic interest rate, stochastic volatility, European, Bermudan and barrier options, sensitivities, Monte Carlo simulation, least squares, bundling

3.

Wrong Way Risk Modeling and Computation in Credit Valuation Adjustment for European and Bermudan Options

Number of pages: 33 Posted: 17 Oct 2016
Qian Feng and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) and Utrecht University - Faculty of Science
Downloads 187 (348,165)
Citation 1

Abstract:

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Credit Valuation Adjustment (CVA), Wrong Way Risk (WWR) Modeling, Efficient Algorithms, Bermudan Options