Pages that link to "Item:Q5418750"

The following pages link to Counterparty Credit Risk, Collateral and Funding (Q5418750):

Displaying 50 items.

• Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law (Q277273) (← links)
• A BSDE with delayed generator approach to pricing under counterparty risk and collateralization (Q507677) (← links)
• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement (Q1634318) (← links)
• Evaluation of counterparty risk for derivatives with early-exercise features (Q1657201) (← links)
• Funding, repo and credit inclusive valuation as modified option pricing (Q1728382) (← links)
• Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (Q1749526) (← 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)
• Estimating the counterparty risk exposure by using the Brownian motion local time (Q2011920) (← links)
• Analytical valuation of vulnerable European and Asian options in intensity-based models (Q2020536) (← links)
• Approximate value adjustments for European claims (Q2116937) (← links)
• CVA and vulnerable options pricing by correlation expansions (Q2241073) (← links)
• Deep learning for CVA computations of large portfolios of financial derivatives (Q2244169) (← 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)
• Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs (Q2326984) (← 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)
• LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS (Q2953307) (← links)
• SMILE MODELING IN COMMODITY MARKETS (Q3304207) (← links)
• Impact of multiple curve dynamics in credit valuation adjustments under collateralization (Q4554408) (← links)
• Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (Q4585673) (← links)
• WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS (Q4595298) (← links)
• BEHAVIORAL VALUE ADJUSTMENTS (Q4602492) (← links)
• COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK (Q4602499) (← links)
• Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model (Q4609030) (← links)
• BOUNDING WRONG‐WAY RISK IN CVA CALCULATION (Q4635042) (← links)
• A Lévy HJM multiple-curve model with application to CVA computation (Q4683048) (← links)
• Nonlinearity Valuation Adjustment (Q4689899) (← links)
• Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects (Q4689900) (← links)
• Tight Semi-model-free Bounds on (Bilateral) CVA (Q4689903) (← links)
• CVA with Wrong-Way Risk in the Presence of Early Exercise (Q4689905) (← links)
• Simultaneous Hedging of Regulatory and Accounting CVA (Q4689906) (← links)
• Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model (Q4689909) (← links)
• Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading (Q4994680) (← links)
• A polynomial scheme of asymptotic expansion for backward SDEs and option pricing (Q5001141) (← 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)
• CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS (Q5114679) (← links)
• Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk (Q5123455) (← links)
• CONIC CVA AND DVA FOR OPTION PORTFOLIOS (Q5147998) (← links)
• A Unified Approach to xVA with CSA Discounting and Initial Margin (Q5162843) (← links)
• Price Index Insurances in the Agriculture Markets (Q5165012) (← links)
• Pathwise Dynamic Programming (Q5219679) (← links)
• A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING (Q5249754) (← links)
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS (Q5256831) (← links)
• CVA WITH WRONG WAY RISK: SENSITIVITIES, VOLATILITY AND HEDGING (Q5256836) (← links)
• Central Clearing Valuation Adjustment (Q5266361) (← links)
• COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA (Q5299992) (← links)
• PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK (Q5299993) (← links)