Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities (Q6103703)
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scientific article; zbMATH DE number 7692032
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities |
scientific article; zbMATH DE number 7692032 |
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Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities (English)
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5 June 2023
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XVA
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value adjustments
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backward stochastic differential equation
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nonlinear valuation
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credit risk
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defaultable claims
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