CVA Computing by PDE Models

DOI10.1007/978-3-319-57099-0_2zbMath1367.91190OpenAlexW2606865627MaRDI QIDQ5274924

Iñigo Arregui, Beatriz Salvador, Carlos Vázquez

Publication date: 7 July 2017

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-57099-0_2

zbMATH Keywords

modellingnumerical methodsCVA

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Credit risk (91G40)

Related Items

Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations, Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation

Cites Work

• Unnamed Item
• An upwind approach for an American and European option pricing model
• Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
• Elementary Stochastic Calculus, with Finance in View
• The Mathematics of Financial Derivatives