Analysis of nonlinear valuation equations under credit and funding effects (Q4689900)
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scientific article; zbMATH DE number 6959380
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| English | Analysis of nonlinear valuation equations under credit and funding effects |
scientific article; zbMATH DE number 6959380 |
Statements
Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects (English)
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22 October 2018
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counterparty credit risk
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funding valuation adjustment
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funding costs
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collateralization
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nonlinearity valuation adjustment
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nonlinear valuation
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derivatives valuation
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semi-linear PDE
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FBSDE
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BSDE
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existence and uniqueness of solutions
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0.8706297874450684
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0.8256204724311829
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0.7695639729499817
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0.7664703726768494
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0.7414385080337524
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