Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement

DOI10.1016/j.ejor.2018.10.046zbMath1406.91468OpenAlexW2898745333WikidataQ129001868 ScholiaQ129001868MaRDI QIDQ1634318

Damiano Brigo, Marco Francischello, Andrea Pallavicini

Publication date: 18 December 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/64598

zbMATH Keywords

backward stochastic differential equationspricingfunding costsnonlinear valuationvaluation adjustments

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (9)

A BSDE approach to fair bilateral pricing under endogenous collateralization ⋮ The impact of non-cash collateralization on the over-the-counter derivatives markets ⋮ Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities ⋮ Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk ⋮ Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS ⋮ A Unified Approach to xVA with CSA Discounting and Initial Margin ⋮ Bank-sourced credit transition matrices: estimation and characteristics ⋮ Approximate value adjustments for European claims

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