Feynman-Kac for functional jump diffusions with an application to credit value adjustment
DOI10.1016/J.SPL.2015.06.007zbMATH Open1330.60098OpenAlexW3121400383MaRDI QIDQ894585FDOQ894585
Jasmin A. L. Röder, L. Overbeck, Eduard Kromer
Publication date: 1 December 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2015.06.007
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path-dependent derivatives[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=functional+It%EF%BF%BD%EF%BF%BD+formula&go=Go functional It�� formula]credit value adjustmentfunctional Feynman-Kac theoremfunctional jump diffusions
Diffusion processes (60J60) Credit risk (91G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Financial applications of other theories (91G80)
Cites Work
- Financial Modelling with Jump Processes
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- Option pricing when underlying stock returns are discontinuous
- Change of variable formulas for non-anticipative functionals on path space
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- An Introduction to Branching Measure-Valued Processes
- A simple proof of functional Itô's lemma for semimartingales with an application
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
- Historical processes
- On the martingale problem for interactive measure-valued branching diffusions
- Measure-valued branching diffusions with spatial interactions
Cited In (7)
- Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
- Stochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal Control
- Path-dependent BSDEs with jumps and their connection to PPIDEs
- Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
- Feynman–Kac formulas for regime-switching jump diffusions and their applications
- A functional Itô's calculus approach to convex risk measures with jump diffusion
- Robustness of Delta Hedging in a Jump-Diffusion Model
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