Remarks on an arbitrage-free condition for XVA

DOI10.14495/jsiaml.11.57zbMath1425.91409OpenAlexW2971193174MaRDI QIDQ5236564

Akihiro Tanaka

Publication date: 9 October 2019

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14495/jsiaml.11.57

zbMATH Keywords

backward stochastic differential equationXVAnonlinear market model

Mathematics Subject Classification ID

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

Related Items (1)

Notes on backward stochastic differential equations for computing XVA

Cites Work

• ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
• Backward Stochastic Differential Equations in Finance
• Arbitrage‐free XVA
• Credit risk: Modelling, valuation and hedging

This page was built for publication: Remarks on an arbitrage-free condition for XVA