Nonlinearity Valuation Adjustment
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Publication:4689899
DOI10.1007/978-3-319-33446-2_1zbMath1398.91636OpenAlexW2557549539MaRDI QIDQ4689899
Andrea Pallavicini, Qing D. Liu, David Sloth, Damiano Brigo
Publication date: 22 October 2018
Published in: Innovations in Derivatives Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_1
collateralcredit riskfunding costsnonlinear valuationconsistent valuationcredit valuation adjustment CVAfunding valuation adjustment FVAnonlinear valuation adjustment NVA
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items
Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ Pricing and hedging vulnerable option with funding costs and collateral ⋮ Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ BEHAVIORAL VALUE ADJUSTMENTS ⋮ CVA and vulnerable options pricing by correlation expansions ⋮ Approximate value adjustments for European claims
Cites Work
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