Pages that link to "Item:Q5175221"

The following pages link to BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (Q5175221):

Displaying 41 items.

• A BSDE approach to fair bilateral pricing under endogenous collateralization (Q331356) (← links)
• Bilateral credit valuation adjustment for large credit derivatives portfolios (Q468421) (← links)
• An overview of the valuation of collateralized derivative contracts (Q475330) (← links)
• A BSDE with delayed generator approach to pricing under counterparty risk and collateralization (Q507677) (← links)
• Pricing and hedging vulnerable option with funding costs and collateral (Q1663930) (← links)
• An enlargement of filtration formula with applications to multiple non-ordered default times (Q1691452) (← links)
• Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case (Q1722018) (← links)
• PDE models and numerical methods for total value adjustment in European and American options with counterparty risk (Q1738076) (← links)
• Analytical valuation of vulnerable European and Asian options in intensity-based models (Q2020536) (← links)
• American options in nonlinear markets (Q2042845) (← links)
• Valuing fade-in options with default risk in Heston-Nandi GARCH models (Q2165384) (← links)
• The impact of non-cash collateralization on the over-the-counter derivatives markets (Q2165394) (← links)
• A consistent stochastic model of the term structure of interest rates for multiple tenors (Q2191452) (← 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)
• A computational approach to hedging credit valuation adjustment in a jump-diffusion setting (Q2661050) (← links)
• Valuation and Hedging of Contracts with Funding Costs and Collateralization (Q2941474) (← links)
• Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates (Q3464672) (← links)
• American options in an imperfect complete market with default (Q4615505) (← links)
• PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION (Q4628409) (← links)
• Nonlinearity Valuation Adjustment (Q4689899) (← links)
• A polynomial scheme of asymptotic expansion for backward SDEs and option pricing (Q5001141) (← links)
• XVA analysis from the balance sheet (Q5014178) (← links)
• A Monte Carlo approach to American options pricing including counterparty risk (Q5031705) (← links)
• A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK (Q5111486) (← links)
• Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk (Q5123455) (← links)
• European Options in a Nonlinear Incomplete Market Model with Default (Q5131411) (← links)
• Cross Currency Valuation and Hedging in the Multiple Curve Framework (Q5162842) (← links)
• A Unified Approach to xVA with CSA Discounting and Initial Margin (Q5162843) (← links)
• A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING (Q5249754) (← links)
• Numerical Stability Analysis of the Euler Scheme for BSDEs (Q5253605) (← links)
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (Q5411396) (← links)
• Binary funding impacts in derivative valuation (Q6054135) (← links)
• Three ways to solve partial differential equations with neural networks — A review (Q6068232) (← links)
• Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach (Q6078122) (← 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)
• Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework (Q6159074) (← links)
• Stability of backward stochastic differential equations: the general Lipschitz case (Q6165206) (← links)
• Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework (Q6183818) (← links)