XVA in a multi-currency setting with stochastic foreign exchange rates-Reference-Cited by-同舟云学术

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XVA in a multi-currency setting with stochastic foreign exchange rates

Published:2023-05 Issue: Volume:207 Page:59-79
ISSN:0378-4754
Container-title:Mathematics and Computers in Simulation
language:en
Short-container-title:Mathematics and Computers in Simulation

Author:

Simonella Roberta^ORCID,Vázquez Carlos^ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference46 articles.

1. XVA analysis from the balance sheet;Albanese;Quant. Finance,2021

2. Total value adjustment for European options in a multi-currency setting;Arregui;Appl. Math. Comput.,2022

3. On nonlinear Feynman-Kac formulas for viscosity solutions of semilinear parabolic partial differential equations;Beck;Stoch. Dynam.,2021

4. Bilateral counterparty risk valuation with stochastic dynamical models and applications to CDSs;Brigo,2009

5. Counterparty Credit Risk, Collateral and Funding with Pricing Cases for All Asset Classes;Brigo,2013

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Market Risk Analysis with Value at Risk Models using Machine Learning in BIST-30 Banking Index;Adam Akademi Sosyal Bilimler Dergisi;2024-06-30

2. Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework;Communications in Nonlinear Science and Numerical Simulation;2024-03

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