Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities
DOI10.1016/j.camwa.2023.03.014OpenAlexW4361278482MaRDI QIDQ6103703
Fabio Antonelli, Raffaele D'Ambrosio, Ivan Gallo
Publication date: 5 June 2023
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2023.03.014
backward stochastic differential equationcredit riskdefaultable claimsnonlinear valuationXVAvalue adjustments
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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