Notes on backward stochastic differential equations for computing XVA
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Publication:6130854
DOI10.1007/978-981-16-5576-0_2arXiv2006.02173OpenAlexW3033962853MaRDI QIDQ6130854
Publication date: 3 April 2024
Published in: Proceedings of the Forum "Math-for-Industry" 2018 (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.02173
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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