CVA in fractional and rough volatility models
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Publication:2700343
DOI10.1016/j.amc.2022.127715OpenAlexW4310862217MaRDI QIDQ2700343
Sergio Scarlatti, Fabio Antonelli, Elisa Alòs, Alessandro Ramponi
Publication date: 21 April 2023
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2204.11554
Stochastic analysis (60Hxx) Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx)
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