Mild to classical solutions for XVA equations under stochastic volatility (Q6496950)
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scientific article; zbMATH DE number 7842600
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mild to classical solutions for XVA equations under stochastic volatility |
scientific article; zbMATH DE number 7842600 |
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Mild to classical solutions for XVA equations under stochastic volatility (English)
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6 May 2024
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XVA
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valuation
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collateral
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funding costs
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default time
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stochastic volatility
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stochastic differential equation
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mild solution
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semilinear parabolic PDE
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