The following pages link to (Q5169724):
Displaying 45 items.
- Counterparty risk and funding: immersion and beyond (Q331358) (← links)
- Funding, repo and credit inclusive valuation as modified option pricing (Q1728382) (← links)
- Integrated structural approach to credit value adjustment (Q1991244) (← links)
- Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions (Q1999911) (← links)
- Perturbative expansion technique for non-linear FBSDEs with interacting particle method (Q2013321) (← links)
- American options in nonlinear markets (Q2042845) (← links)
- A fully quantization-based scheme for FBSDEs (Q2101958) (← links)
- Approximate value adjustments for European claims (Q2116937) (← links)
- XVA metrics for CCP optimization (Q2173275) (← links)
- CVA and vulnerable options pricing by correlation expansions (Q2241073) (← links)
- Total value adjustment for European options in a multi-currency setting (Q2246492) (← links)
- Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA (Q2296110) (← links)
- Arbitrage-free pricing of derivatives in nonlinear market models (Q2296111) (← links)
- Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation (Q2334884) (← links)
- BSDEs of counterparty risk (Q2347456) (← links)
- CVA in fractional and rough volatility models (Q2700343) (← links)
- Valuation and Hedging of Contracts with Funding Costs and Collateralization (Q2941474) (← links)
- Random Time with Differentiable Conditional Distribution Function (Q3178730) (← links)
- Impact of multiple curve dynamics in credit valuation adjustments under collateralization (Q4554408) (← links)
- Joint densities of hitting times for finite state Markov processes (Q4634119) (← links)
- A Lévy HJM multiple-curve model with application to CVA computation (Q4683048) (← links)
- XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS (Q4686502) (← links)
- Nonlinearity Valuation Adjustment (Q4689899) (← links)
- Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives (Q4689901) (← links)
- Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model (Q4689909) (← links)
- Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (Q4967860) (← links)
- Stochastic approximation schemes for economic capital and risk margin computations (Q4967869) (← links)
- CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS (Q4994443) (← links)
- Rational multi-curve models with counterparty-risk valuation adjustments (Q5001175) (← links)
- FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS (Q5010075) (← links)
- XVA analysis from the balance sheet (Q5014178) (← links)
- Asymptotic expansion for forward-backward SDEs with jumps (Q5086422) (← links)
- A Risk-Sharing Framework of Bilateral Contracts (Q5112729) (← links)
- CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS (Q5114679) (← links)
- A Unified Approach to xVA with CSA Discounting and Initial Margin (Q5162843) (← links)
- Pathwise Dynamic Programming (Q5219679) (← links)
- A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING (Q5249754) (← links)
- Central Clearing Valuation Adjustment (Q5266361) (← links)
- A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (Q5419654) (← links)
- Wrong way risk corrections to CVA in CIR reduced-form models (Q6060556) (← links)
- XVA in a multi-currency setting with stochastic foreign exchange rates (Q6102925) (← links)
- Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities (Q6103703) (← links)
- Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework (Q6183818) (← links)
- Mild to classical solutions for XVA equations under stochastic volatility (Q6496950) (← links)
- Stopping times occurring simultaneously (Q6617086) (← links)
