Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects

DOI10.1007/978-3-319-33446-2_2zbMath1398.91635OpenAlexW2559535113MaRDI QIDQ4689900

Damiano Brigo, Marco Francischello, Andrea Pallavicini

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_2

zbMATH Keywords

existence and uniqueness of solutionscollateralizationBSDEFBSDEcounterparty credit risksemi-linear PDEfunding costsnonlinear valuationfunding valuation adjustmentderivatives valuationnonlinearity valuation adjustment

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Credit risk (91G40)

Related Items (15)

Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ Impact of multiple curve dynamics in credit valuation adjustments under collateralization ⋮ Pricing and hedging vulnerable option with funding costs and collateral ⋮ Binary funding impacts in derivative valuation ⋮ Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities ⋮ BEHAVIORAL VALUE ADJUSTMENTS ⋮ American options in an imperfect complete market with default ⋮ European Options in a Nonlinear Incomplete Market Model with Default ⋮ Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case ⋮ Funding, repo and credit inclusive valuation as modified option pricing ⋮ American options in a non-linear incomplete market model with default ⋮ CVA and vulnerable options pricing by correlation expansions ⋮ Pricing and hedging in incomplete markets with model uncertainty ⋮ On a convergent power series method to price defaultable bonds in a Vašíček-CIR model ⋮ Approximate value adjustments for European claims

Cites Work

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• A BSDE approach to fair bilateral pricing under endogenous collateralization
• Adapted solution of a backward stochastic differential equation
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• Valuation and Hedging of Contracts with Funding Costs and Collateralization
• Counterparty Credit Risk, Collateral and Funding
• Credit risk: Modelling, valuation and hedging

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