A change of measure formula for recursive conditional expectations
type: Item
instance of: scholarly article
title: A change of measure formula for recursive conditional expectations
author: Luca Di Persio
author: Alessandro Gnoatto
author: Marco Patacca
published in: International Journal of Theoretical and Applied Finance
publication date: 2024-11-06T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60J74
zbMATH DE Number: 7939739
zbMATH Keywords: pricing
zbMATH Keywords: change of measure
zbMATH Keywords: BSDE
zbMATH Keywords: recursive conditional expectation
zbMATH Keywords: nonlinear valuation
MaRDI profile type: MaRDI publication profile
cites work: Lévy Processes and Stochastic Calculus
cites work: Financial markets theory. Equilibrium, efficiency and information
cites work: A Unified Approach to xVA with CSA Discounting and Initial Margin
cites work: Arbitrage‐free XVA
cites work: Valuation and Hedging of Contracts with Funding Costs and Collateralization
cites work: Conjugate convex functions in optimal stochastic control
cites work: Arbitrage Theory in Continuous Time
cites work: Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
cites work: Numerical methods for backward stochastic differential equations: a survey
cites work: Stochastic Calculus and Applications
cites work: Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
cites work: Q4794153
cites work: Backward Stochastic Differential Equations in Finance
cites work: Changes of numéraire, changes of probability measure and option pricing
cites work: Cross Currency Valuation and Hedging in the Multiple Curve Framework
cites work: Q4778955
cites work: Forward-backward stochastic differential equations and their applications
cites work: BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs
cites work: Adapted solution of a backward stochastic differential equation
cites work: A benchmark approach to quantitative finance
DOI: 10.1142/S0219024924500080
description: scientific article; zbMATH DE number 7939739