Backward stochastic differential equations and Feynman-Kac formula for Levy processes, with applications in finance

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Arbitrage‐free XVA (2016, unknown): “We show that our framework recovers the model proposed by Piterbarg (2010), as well its extension to the case in which the hedger and his counterparty can default. In both cases, we can express the total valuation adjustment in closed form, as a percentage of the publicly available price of the clai”
Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011, background): “For results of the existence, uniqueness and regularity of solutions, see Situ (1996), El Karoui and Huang (1997), Barles, Buckdahn and Pardoux (1997), Nualart and Schoutens (2001) and many other results on this subject.”
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration (2014, methodology): “The special case of a Lévy noise is treated before by Nualart and Schoutens [27]: the orthogonal basis of martingales is explicitely given by the Teugels martingales.”
Feynman–Kac formulas for regime-switching jump diffusions and their applications (2015, methodology): “2] and [33, 34] for several versions of Feynman-Kac formulas for jump diffusions.”
A jump telegraph model for option pricing (2004, background): “Moreover, most of these approaches as well as stochastic volatility and Lévy models create market incompleteness and other difficulties (see e.g. Nualart and Schoutens (2001), Nicolato and Venardos (2003)).”