A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
DOI10.1155/2016/1059303zbMath1407.91245OpenAlexW2498407160WikidataQ59125087 ScholiaQ59125087MaRDI QIDQ507677
Luca Di Persio, Francesco Giuseppe Cordoni
Publication date: 7 February 2017
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2016/1059303
viscosity solutioncredit riskcounterparty riskpath-dependent PDEBSDEnonlinear pricing problemstochastic forward-backward system
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (7)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- An infinite-dimensional approach to path-dependent Kolmogorov equations
- Approximation and convergence of solutions to semilinear stochastic evolution equations with jumps
- Sample-path large deviations in credit risk
- Backward stochastic differential equations approach to hedging, option pricing, and insurance problems
- Pricing variance swaps for stochastic volatilities with delay and jumps
- Change of variable formulas for non-anticipative functionals on path space
- Backward stochastic differential equations with time delayed generators -- results and counterexamples
- Valuing catastrophe bonds involving credit risks
- The optimal analysis of default probability for a credit risk model
- Stochastic systems with memory and jumps
- Functional Itō calculus and stochastic integral representation of martingales
- A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
- A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
- On viscosity solutions of path dependent PDEs
- On Models of Default Risk
- Optimal control of stochastic FitzHugh–Nagumo equation
- Parsimonious HJM modelling for multiple yield curve dynamics
- Interest Rate Modeling: Post-Crisis Challenges and Approaches
- Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
- Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations
- ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
- Backward Stochastic Differential Equations in Finance
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
- Counterparty Credit Risk, Collateral and Funding
- Gibbs sampling approach to regime switching analysis of financial time series
This page was built for publication: A BSDE with delayed generator approach to pricing under counterparty risk and collateralization