Arbitrage‐free XVA (Q4642733)

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scientific article; zbMATH DE number 6873736
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English
Arbitrage‐free XVA
scientific article; zbMATH DE number 6873736

    Statements

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

    DOI
    10.1111/mafi.12146
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    Mathematics Subject Classification ID
    91G10
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    91G40
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    60H10
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    zbMATH DE Number
    6873736
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    OpenAlex ID
    W3105599219
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    arXiv ID
    1608.02690
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