摘要翻译：
本文的目的是设计一种计算交易对手风险的算法，该算法相对于蛮力的“蒙特卡罗的蒙特卡罗”方法（嵌套模拟）具有竞争力。这是通过描述Galton-Watson随机树的标记分支扩散来实现的。当我们使用有违约风险或无交易对手风险的期权价值作为按市价计价时，这种算法同时导致计算（双边）交易对手风险。通过各种数值算例说明了我们的方法。
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英文标题：
《Counterparty Risk Valuation: A Marked Branching Diffusion Approach》
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作者：
Pierre Henry-Labordere (SOCIETE GENERALE)
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  The purpose of this paper is to design an algorithm for the computation of the counterparty risk which is competitive in regards of a brute force "Monte-Carlo of Monte-Carlo" method (with nested simulations). This is achieved using marked branching diffusions describing a Galton-Watson random tree. Such an algorithm leads at the same time to a computation of the (bilateral) counterparty risk when we use the default-risky or counterparty-riskless option values as mark-to-market. Our method is illustrated by various numerical examples.
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PDF链接：
https://arxiv.org/pdf/1203.2369