A BSDE with delayed generator approach to pricing under counterparty risk and collateralization

DOI10.1155/2016/1059303zbMath1407.91245OpenAlexW2498407160WikidataQ59125087 ScholiaQ59125087MaRDI QIDQ507677

Luca Di Persio, Francesco Giuseppe Cordoni

Publication date: 7 February 2017

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/1059303

zbMATH Keywords

viscosity solutioncredit riskcounterparty riskpath-dependent PDEBSDEnonlinear pricing problemstochastic forward-backward system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (7)

A maximum principle for a stochastic control problem with multiple random terminal times ⋮ Applications of anticipated BSDEs driven by time-changing Lévy noises ⋮ A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps ⋮ Gaussian estimates on networks with dynamic stochastic boundary conditions ⋮ Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions ⋮ Estimating the counterparty risk exposure by using the Brownian motion local time

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