Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework-Reference-Cited by-同舟云学术

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

Published:2024-03 Issue: Volume:130 Page:107725
ISSN:1007-5704
Container-title:Communications in Nonlinear Science and Numerical Simulation
language:en
Short-container-title:Communications in Nonlinear Science and Numerical Simulation

Author:

Arregui Íñigo,Simonella Roberta,Vázquez Carlos^ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis

Reference42 articles.

1. Counterparty credit risk, collateral and funding with pricing cases for all asset classes;Brigo,2013

2. Counterparty risk and funding: A tale of two puzzles;Crépey,2014

3. Counterparty credit risk and credit value adjustment;Gregory,2012

4. Funding beyond discounting: collateral agreements and derivatives pricing;Piterbarg;Risk Mag,2010

5. PDE representations of options with bilateral counterparty risk and funding costs;Burgard;J Credit Risk,2011

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