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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+Optimal Credit Investment with Borrowing Costs
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+Credit portfolio selection with decaying contagion intensities
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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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+When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments
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+BOUNDING WRONG‐WAY RISK IN CVA CALCULATION
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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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