Feynman-Kac for functional jump diffusions with an application to credit value adjustment

DOI10.1016/j.spl.2015.06.007zbMath1330.60098OpenAlexW3121400383MaRDI QIDQ894585

Jasmin A. L. Röder, Ludger Overbeck, Eduard Kromer

Publication date: 1 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.06.007

zbMATH Keywords

path-dependent derivativescredit value adjustmentfunctional Feynman-Kac theoremfunctional Itō formulafunctional jump diffusions

Mathematics Subject Classification ID

Related Items (5)

Stochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal Control ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting ⋮ Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle ⋮ Path-dependent BSDEs with jumps and their connection to PPIDEs

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