BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
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Publication:5175222
DOI10.1111/mafi.12005zbMath1314.91208OpenAlexW1762134087MaRDI QIDQ5175222
Publication date: 20 February 2015
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12005
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40)
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