Arbitrage‐free XVA
From MaRDI portal
Publication:4642733
DOI10.1111/mafi.12146zbMath1390.91276arXiv1608.02690MaRDI QIDQ4642733
Maxim Bichuch, Agostino Capponi, Stephan Sturm
Publication date: 25 May 2018
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.02690
backward stochastic differential equations; counterparty credit risk; funding spreads; XVA; arbitrage-free valuation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G10: Portfolio theory
91G40: Credit risk