A computational approach to hedging credit valuation adjustment in a jump-diffusion setting

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

zbMATH Keywords

dynamic hedgingcomputational financecredit valuation adjustment (CVA)counterparty credit risk (CCR)Merton jump-diffusionxVA hedging

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Unnamed Item
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• Mathematical Modeling and Computation in Finance
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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