Feynman-Kac for functional jump diffusions with an application to credit value adjustment (Q894585)
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scientific article; zbMATH DE number 6515208
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| English | Feynman-Kac for functional jump diffusions with an application to credit value adjustment |
scientific article; zbMATH DE number 6515208 |
Statements
Feynman-Kac for functional jump diffusions with an application to credit value adjustment (English)
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1 December 2015
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functional Feynman-Kac theorem
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functional jump diffusions
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functional Itō formula
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credit value adjustment
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path-dependent derivatives
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0.90483266
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0.8815413
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0.87813157
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0.8775941
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0.87568957
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0.8747786
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0.87172735
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0.86837804
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0.86813426
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