CVA computing by PDE models

DOI10.1007/978-3-319-57099-0_2MaRDI QIDQ5274924zbMATH OpenOpenAlexFDO

Authors Iñigo Arregui, Beatriz Salvador, Carlos Vázquez

Publication date 7 July 2017

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-57099-0_2

zbMATH Keywords

modellingnumerical methodsCVA

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Recommendations

• Toward a coherent Monte Carlo simulation of CVA
• CVA and vulnerable options pricing by correlation expansions
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• PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
• Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches

Cites work

• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• An upwind approach for an American and European option pricing model
• Elementary Stochastic Calculus, with Finance in View
• Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
• The Mathematics of Financial Derivatives

Cited in

(3)

• Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation
• Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations
• Deep learning for CVA computations of large portfolios of financial derivatives

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