Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
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Publication:4689900
DOI10.1007/978-3-319-33446-2_2zbMath1398.91635MaRDI QIDQ4689900
Damiano Brigo, Marco Francischello, Andrea Pallavicini
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_2
existence and uniqueness of solutions; collateralization; BSDE; FBSDE; counterparty credit risk; semi-linear PDE; funding costs; nonlinear valuation; funding valuation adjustment; derivatives valuation; nonlinearity valuation adjustment
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G80: Financial applications of other theories
91G40: Credit risk