CVA and vulnerable options pricing by correlation expansions

DOI10.1007/S10479-019-03367-ZzbMath1480.91285arXiv1811.07294OpenAlexW2974178925WikidataQ127241291 ScholiaQ127241291MaRDI QIDQ2241073

Fabio Antonelli, Sergio Scarlatti, Alessandro Ramponi

Publication date: 8 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.07294

zbMATH Keywords

Duhamel principleaffine processescounterparty credit riskcredit value adjustmentvalnerable optionswrong way risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

Related Items (5)

Valuing fade-in options with default risk in Heston-Nandi GARCH models ⋮ Wrong way risk corrections to CVA in CIR reduced-form models ⋮ Extending the Merton model with applications to credit value adjustment ⋮ CVA in fractional and rough volatility models ⋮ Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 -- April 1, 2015
• Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options
• On Cox processes and credit risky securities
• Pricing options under stochastic volatility: a power series approach
• Exchange option pricing under stochastic volatility: a correlation expansion
• An essay on the general theory of stochastic processes
• Pricing options under stochastic interest rates: a new approach
• Pricing CIR yield options by conditional moment matching
• Funding, repo and credit inclusive valuation as modified option pricing
• Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
• Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
• Pricing vulnerable claims in a Lévy-driven model
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Continuous and tractable models for the variation of evolutionary rates
• RANDOM TIME FORWARD-STARTING OPTIONS
• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• Numerical Methods for Elliptic and Parabolic Partial Differential Equations
• Some Extensions of Norros’ Lemma in Models with Several Defaults
• BOUNDING WRONG‐WAY RISK IN CVA CALCULATION
• Nonlinearity Valuation Adjustment
• Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
• Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
• Laplace Transforms for Integrals of Markov Processes
• Counterparty Credit Risk, Collateral and Funding
• PDE approach to valuation and hedging of credit derivatives
• Credit portfolio selection with decaying contagion intensities
• Credit risk: Modelling, valuation and hedging

This page was built for publication: CVA and vulnerable options pricing by correlation expansions