A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE

DOI10.1142/S0219024919500158zbMath1411.91569OpenAlexW2804520099WikidataQ128300987 ScholiaQ128300987MaRDI QIDQ5377005

Marouan Iben Taarit, Bernard Lapeyre

Publication date: 21 May 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500158

zbMATH Keywords

local timesco-area formulaDupire's equationexpected exposureXVA adjustments

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Some identities on semimartingales local times
• Geometric measure theory.
• COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA

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