Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs-Reference-Cited by-同舟云学术

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Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs

Published:2010 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Burgard Christoph,Kjaer Mats

Publisher

Elsevier BV

Reference10 articles.

1. Illustrating a Problem in the Self-Financing Condition in;D Brigo;Two 2010-2011 Papers on Funding, Collateral and Discounting,2012

2. Modelling, Pricing, and Hedging Counterparty Credit Exposure

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1. Monotone methods in counterparty risk models with nonlinear Black–Scholes-type equations;SeMA Journal;2022-08-09

2. Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework;SSRN Electronic Journal;2020

3. Pricing of Counterparty Risk and Funding With CSA Discounting, Portfolio Effects and Initial Margin;SSRN Electronic Journal;2019

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