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Robust XVA - MaRDI portal

Robust XVA (Q5855941)

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scientific article; zbMATH DE number 7326768
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English
Robust XVA
scientific article; zbMATH DE number 7326768

    Statements

    title
    Robust XVA (English)
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    author
    Maxim Bichuch
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    Agostino Capponi
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    Stephan Sturm
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    publication date
    23 March 2021
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    zbMATH Keywords
    arbitrage-free valuation
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    backward stochastic differential equation
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    counterparty credit risk
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    robust XVA
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G40
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    60H30
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    zbMATH DE Number
    7326768
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    OpenAlex ID
    W4210391297
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    DOI
    10.1111/MAFI.12260
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