Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities

DOI10.1016/J.CAMWA.2023.03.014MaRDI QIDQ6103703zbMATH OpenOpenAlexFDO

Authors Fabio Antonelli, Raffaele D'Ambrosio, Ivan Gallo

Publication date 5 June 2023

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.camwa.2023.03.014

zbMATH Keywords

backward stochastic differential equationcredit riskdefaultable claimsnonlinear valuationvalue adjustmentsXVA

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Approximate value adjustments for European claims
• Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation
• Analysis of nonlinear valuation equations under credit and funding effects
• Numerical methods for non-linear Black-Scholes equations
• PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution

Cites work

• A Compendium of Partial Differential Equation Models
• Adapted numerical methods for advection-reaction-diffusion problems generating periodic wavefronts
• Analysis of nonlinear valuation equations under credit and funding effects
• Approximate value adjustments for European claims
• Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
• Arbitrage-free XVA
• Bilateral counterparty risk under funding constraints. I: Pricing
• Bilateral counterparty risk under funding constraints. II: CVA
• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
• Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
• scientific article; zbMATH DE number 3921884 (Why is no real title available?)
• scientific article; zbMATH DE number 3199208 (Why is no real title available?)
• scientific article; zbMATH DE number 5180707 (Why is no real title available?)
• Implicit-explicit numerical schemes for jump-diffusion processes
• Implicit-explicit Runge-Kutta methods for time-dependent partial differential equations
• Mathematical methods for financial markets.
• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
• Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs
• PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
• Pricing counterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
• Pricing derivatives with counterparty risk and collateralization: a fixed point approach
• Stochastic differential equations, backward SDEs, partial differential equations
• Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation

This page was built for publication: Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6103703)