Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
DOI10.1016/j.cnsns.2023.107725MaRDI QIDQ6183818
Iñigo Arregui, Roberta Simonella, Carlos Vázquez
Publication date: 23 January 2024
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Monte Carlo techniquesfinancial derivativesLagrange-Galerkin methodXVA(non)linear PDEsmultilevel Picard iterationmean reversion processesmulticurrency setting
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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