Nonlinearity Valuation Adjustment

DOI10.1007/978-3-319-33446-2_1zbMath1398.91636OpenAlexW2557549539MaRDI QIDQ4689899

Andrea Pallavicini, Qing D. Liu, David Sloth, Damiano Brigo

Publication date: 22 October 2018

Published in: Innovations in Derivatives Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_1

zbMATH Keywords

collateralcredit riskfunding costsnonlinear valuationconsistent valuationcredit valuation adjustment CVAfunding valuation adjustment FVAnonlinear valuation adjustment NVA

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items

Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ Pricing and hedging vulnerable option with funding costs and collateral ⋮ Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ BEHAVIORAL VALUE ADJUSTMENTS ⋮ CVA and vulnerable options pricing by correlation expansions ⋮ Approximate value adjustments for European claims

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