Robust XVA

DOI10.1111/mafi.12260OpenAlexW4210391297MaRDI QIDQ5855941

Stephan Sturm, Maxim Bichuch, Agostino Capponi

Publication date: 23 March 2021

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.04908

zbMATH Keywords

backward stochastic differential equationcounterparty credit riskarbitrage-free valuationrobust XVA

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (3)

A Risk-Sharing Framework of Bilateral Contracts ⋮ A Unified Approach to xVA with CSA Discounting and Initial Margin ⋮ American options in nonlinear markets

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