A forward equation for computing derivatives exposure

DOI10.1142/S0219024919500158MaRDI QIDQ5377005zbMATH OpenOpenAlexWikidataFDO

Authors Bernard Lapeyre, Marouan Iben Taarit

Publication date 21 May 2019

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024919500158

zbMATH Keywords

co-area formulaDupire's equationexpected exposurelocal timesXVA adjustments

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Counterparty risk and funding: the four wings of the TVA
• Free energy computations. A mathematical perspective
• Geometric measure theory.
• scientific article; zbMATH DE number 3505981 (Why is no real title available?)
• scientific article; zbMATH DE number 1210409 (Why is no real title available?)
• scientific article; zbMATH DE number 635670 (Why is no real title available?)
• Measure theory and fine properties of functions
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Some identities on semimartingales local times

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