A computational approach to hedging credit valuation adjustment in a jump-diffusion setting
From MaRDI portal
Publication:2661050
DOI10.1016/j.amc.2020.125671zbMath1476.91205arXiv2005.10504OpenAlexW3090399261MaRDI QIDQ2661050
Lech A. Grzelak, Thomas van der Zwaard, Cornelis W. Oosterlee
Publication date: 1 April 2021
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.10504
dynamic hedgingcomputational financecredit valuation adjustment (CVA)counterparty credit risk (CCR)Merton jump-diffusionxVA hedging
Cites Work
- Unnamed Item
- A Jump-Diffusion Model for Option Pricing
- Calibration and hedging under jump diffusion
- PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
- A numerical algorithm for a class of BSDEs via the branching process
- Valuation and Hedging of Contracts with Funding Costs and Collateralization
- Dynamic Hedging Under Jump Diffusion with Transaction Costs
- ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
- Mathematical Modeling and Computation in Finance
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
This page was built for publication: A computational approach to hedging credit valuation adjustment in a jump-diffusion setting