Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework

DOI10.1016/j.cnsns.2023.107725MaRDI QIDQ6183818

Iñigo Arregui, Roberta Simonella, Carlos Vázquez

Publication date: 23 January 2024

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo techniques financial derivatives Lagrange-Galerkin method XVA (non)linear PDEs multilevel Picard iteration mean reversion processes multicurrency setting

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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