A Unified Approach to xVA with CSA Discounting and Initial Margin
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Publication:5162843
DOI10.1137/20M1332153zbMath1476.91140arXiv1905.11328OpenAlexW3194703332MaRDI QIDQ5162843
Francesca Biagini, Alessandro Gnoatto, Immacolata Oliva
Publication date: 5 November 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1905.11328
Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)
Related Items (5)
Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ Cross Currency Valuation and Hedging in the Multiple Curve Framework ⋮ A fully quantization-based scheme for FBSDEs ⋮ Approximate value adjustments for European claims ⋮ The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives
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