Robust XVA

DOI10.1111/MAFI.12260MaRDI QIDQ5855941zbMATH OpenOpenAlexFDO

Authors Maxim Bichuch, Agostino Capponi, Stephan Sturm

Publication date 23 March 2021

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.04908

zbMATH Keywords

arbitrage-free valuationbackward stochastic differential equationcounterparty credit riskrobust XVA

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cited in

(6)

• American options in nonlinear markets
• Arbitrage-free XVA
• A risk-sharing framework of bilateral contracts
• A unified approach to xVA with CSA discounting and initial margin
• Remarks on an arbitrage-free condition for XVA
• Handling model risk with XVAs

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