Arbitrage‐free XVA
From MaRDI portal
Publication:4642733
DOI10.1111/mafi.12146zbMath1390.91276arXiv1608.02690OpenAlexW3105599219MaRDI QIDQ4642733
Agostino Capponi, Stephan Sturm, Maxim Bichuch
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 equationscounterparty credit riskfunding spreadsXVAarbitrage-free valuation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10) Credit risk (91G40)
Related Items (26)
Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION ⋮ A BSDE approach to fair bilateral pricing under endogenous collateralization ⋮ Counterparty risk and funding: immersion and beyond ⋮ Pricing and hedging vulnerable option with funding costs and collateral ⋮ Binary funding impacts in derivative valuation ⋮ Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities ⋮ Notes on backward stochastic differential equations for computing XVA ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ Wealth Transfers, Indifference Pricing, and XVA Compression Schemes ⋮ Cross Currency Valuation and Hedging in the Multiple Curve Framework ⋮ A Unified Approach to xVA with CSA Discounting and Initial Margin ⋮ XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS ⋮ American options in nonlinear markets ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT ⋮ Remarks on an arbitrage-free condition for XVA ⋮ Positive XVAs ⋮ XVA analysis from the balance sheet ⋮ Central Clearing Valuation Adjustment ⋮ Approximate value adjustments for European claims
This page was built for publication: Arbitrage‐free XVA
