CVA Computing by PDE Models

Author:

Arregui Iñigo,Salvador Beatriz,Vázquez Carlos

Publisher

Springer International Publishing

Reference13 articles.

1. Burgard, C., Kjaer, M.: In the balance. Risk 11, 1–12 (2011)

2. Burgard, C., Kjaer, M.: PDE representations of derivatives with bilateral counterparty risk and funding costs. J. Credit Risk 7(3), 1–19 (2011)

3. Burgard, C., Kjaer, M.: Funding costs, funding strategies. J. Credit Risk 11, 1–17 (2013)

4. Calvo Garrido, M.C.: Mathematical analysis and numerical methods for pricing some pension plans and mortgages. Ph.D. thesis, Universidade da Coruña (2014)

5. Castillo, D., Ferreiro, A.M., García-Rodríguez, J.A., Vázquez, C.: Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs. Appl. Math. Comput. 219, 11233–11257 (2013)

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