When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments (Q5112532)
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scientific article; zbMATH DE number 7206671
Language | Label | Description | Also known as |
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English | When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments |
scientific article; zbMATH DE number 7206671 |
Statements
When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments (English)
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29 May 2020
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credit valuation adjustment (CVA)
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funding valuation adjustment (FVA)
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capital valuation adjustment (KVA)
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anticipated (or McKean) BSDE
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progressive enlargement of filtration
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invariance time
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