Modelling and Computing the Total Value Adjustment for European Derivatives in a Multi-Currency Setting (Q6048657): Difference between revisions

Latest revision as of 20:57, 2 August 2024

scientific article; zbMATH DE number 7737848

Language	Label	Description	Also known as
English	Modelling and Computing the Total Value Adjustment for European Derivatives in a Multi-Currency Setting	scientific article; zbMATH DE number 7737848

Statements

instance of

scholarly article

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title

Modelling and Computing the Total Value Adjustment for European Derivatives in a Multi-Currency Setting (English)

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Mathematics in Industry

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publication date

15 September 2023

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-031-11818-0_41

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cites work

PDE models and numerical methods for total value adjustment in European and American options with counterparty risk

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Total value adjustment for European options in a multi-currency setting

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On nonlinear Feynman–Kac formulas for viscosity solutions of semilinear parabolic partial differential equations

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Counterparty Credit Risk, Collateral and Funding

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BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING

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BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA

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Q5169724

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Q4029028

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Identifiers

DOI

10.1007/978-3-031-11818-0_41

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6048657

@@ Property / full work available at URL @@
+https://doi.org/10.1007/978-3-031-11818-0_41
+Normal rank
@@ Property / OpenAlex ID @@
+W4312636522
@@ Property / OpenAlex ID: W4312636522 / rank @@
+Normal rank
@@ Property / cites work @@
+PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
+Normal rank
@@ Property / cites work @@
+Total value adjustment for European options in a multi-currency setting
+Normal rank
@@ Property / cites work @@
+On nonlinear Feynman–Kac formulas for viscosity solutions of semilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+Counterparty Credit Risk, Collateral and Funding
@@ Property / cites work: Counterparty Credit Risk, Collateral and Funding / rank @@
+Normal rank
@@ Property / cites work @@
+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
+Normal rank
@@ Property / cites work @@
+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
+Normal rank
@@ Property / cites work @@
+Q5169724
@@ Property / cites work: Q5169724 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank