BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA

DOI10.1111/mafi.12005zbMath1314.91208OpenAlexW1762134087MaRDI QIDQ5175222

Publication date: 20 February 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12005

zbMATH Keywords

backward stochastic differential equation counterparty risk credit valuation adjustment funding costs

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40)

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