Mild to classical solutions for XVA equations under stochastic volatility

DOI10.1137/22M1506882MaRDI QIDQ6496950FDOQ6496950

Authors: Damiano Brigo, Federico Graceffa, A. V. Kalinin 

Publication date: 6 May 2024

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Recommendations

• Valuation equations for stochastic volatility models
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zbMATH Keywords

collateralstochastic differential equationstochastic volatilitymild solutionvaluationdefault timesemilinear parabolic PDEfunding costsXVA

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Semilinear parabolic equations (35K58) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments
• A unified approach to xVA with CSA discounting and initial margin

Cited In (2)

• Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
• Notes on backward stochastic differential equations for computing XVA

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