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
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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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