Patrik Karlsson
Patrik Karlsson
drkarlsson.com
Verified email at drkarlsson.com
Title
Cited by
Cited by
Year
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
P Karlsson, S Jain, CW Oosterlee
Applied Mathematical Finance 23 (3), 175-196, 2016
172016
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Q Feng, S Jain, P Karlsson, D Kandhai, CW Oosterlee
Available at SSRN 2790874, 2016
132016
KVA, Mind Your P's and Q's!
S Jain, P Karlsson, D Kandhai
Wilmott 2019 (102), 60-73, 2019
42019
The Heston Model-Stochastic Volatility and Approximation
P Karlsson
42009
Calibrating a Market Model to Commodity and Interest Rate Risk
P Karlsson, KF Pilz, E Schlögl
Available at SSRN 2773974, 2016
22016
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
P Karlsson, S Jain, CW Oosterlee
International Journal of Financial Engineering 3 (01), 1650005, 2016
22016
Efficient Calibration for CVA Using Multi-Level Monte Carlo
M Hofer, P Karlsson
Available at SSRN 2776932, 2017
12017
FX BASKET OPTIONS-Approximation and Smile Prices
P Karlsson
12009
Accelerating XVA Calibration Using Multi‐level Monte Carlo
M Hofer, P Karlson
Wilmott 2018 (96), 24-33, 2018
2018
Calibrating a market model with stochastic volatility to commodity and interest rate risk
P Karlsson, KF Pilz, E Schlögl
Quantitative Finance 17 (6), 907-925, 2017
2017
Constructing and Calibrating a Hybrid Commodity/LIBOR Market Model
P Karlsson, KF Pilz, E Schlögl
2016
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Articles 1–11