When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments (Q5112532)
From MaRDI portal
scientific article; zbMATH DE number 7206671
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments |
scientific article; zbMATH DE number 7206671 |
Statements
When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments (English)
0 references
29 May 2020
0 references
credit valuation adjustment (CVA)
0 references
funding valuation adjustment (FVA)
0 references
capital valuation adjustment (KVA)
0 references
anticipated (or McKean) BSDE
0 references
progressive enlargement of filtration
0 references
invariance time
0 references
0 references
