A Risk-Sharing Framework of Bilateral Contracts (Q5112729): Difference between revisions

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+Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
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+RESTRUCTURING COUNTERPARTY CREDIT RISK
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+Wealth Transfers, Indifference Pricing, and XVA Compression Schemes
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+Arbitrage‐free XVA
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+Robust XVA
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+Arbitrage-free pricing of derivatives in nonlinear market models
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+Pricing and trading credit default swaps in a hazard process model
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+Valuation and Hedging of Contracts with Funding Costs and Collateralization
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+Portfolio optimization of credit swap under funding costs
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+Optimal Credit Investment with Borrowing Costs
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+Credit portfolio selection with decaying contagion intensities
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+Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
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+ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
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+Nonlinearity Valuation Adjustment
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+Forward-backward SDEs with discontinuous coefficients
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+HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES
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+Q5169724
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+When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments
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+Dynamic programming approach to principal-agent problems
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+Contract theory in continuous-time models
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+Backward Stochastic Differential Equations in Finance
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+On Models of Default Risk
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+BOUNDING WRONG‐WAY RISK IN CVA CALCULATION
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+Q4274285
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+Optimal investment under multiple defaults risk: a BSDE-decomposition approach
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+Optimal investment with counterparty risk: a default-density model approach
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+A BSDE approach to fair bilateral pricing under endogenous collateralization
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+Utility valuation of multi-name credit derivatives and application to CDOs
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+CVA AND FVA TO DERIVATIVES TRADES COLLATERALIZED BY CASH
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+Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
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+W3017283989
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