Arbitrage‐free XVA (Q4642733)

From MaRDI portal
Revision as of 21:50, 19 March 2024 by Openalex240319060354 (talk | contribs) (Set OpenAlex properties.)
scientific article; zbMATH DE number 6873736
Language Label Description Also known as
English
Arbitrage‐free XVA
scientific article; zbMATH DE number 6873736

    Statements

    title
    Arbitrage‐free XVA (English)
    0 references
    author
    Maxim Bichuch
    0 references
    Agostino Capponi
    0 references
    Stephan Sturm
    0 references
    publication date
    25 May 2018
    0 references
    zbMATH Keywords
    arbitrage-free valuation
    0 references
    backward stochastic differential equations
    0 references
    counterparty credit risk
    0 references
    funding spreads
    0 references
    XVA
    0 references

    Identifiers

    DOI
    10.1111/mafi.12146
    0 references
    Mathematics Subject Classification ID
    91G10
    0 references
    91G40
    0 references
    60H10
    0 references
    zbMATH DE Number
    6873736
    0 references
    OpenAlex ID
    W3105599219
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q4642733&oldid=32050150"
    Powered by MediaWiki