Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs

By D. Hunter. 2011

113 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0a94fd9727e5bce4dcf1604be108a9074e6fef15

Citations in the corpus

• Arbitrage‐free XVA (2016, unknown): “This is shown in detail in Bichuch, Capponi, and Sturm (2015b), and we provide here the gist of the argument. On {t < τ}, define the predefault solutions v±(t, St,π I,Q t , π C,Q t ) = V ± t 1{τ>t} to the BSDEs (4.7) and (4.8). The existence of these measurable functions v±, that is, the fact that V”
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (2019, unknown): “, Burgard & Kjaer [14], Crepey et al.”