Approximate value adjustments for European claims

Author:

Antonelli FabioORCID,Ramponi Alessandro,Scarlatti Sergio

Funder

Università degli Studi dell'Aquila

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference45 articles.

1. CVA And vulnerable options by correlation expansion;Antonelli;Annals of Operations Research,2019

2. Pricing options under stochastic volatility: A power series approach;Antonelli;Finance and Stochastics,2009

3. A unified approach to xVA with CSA discounting and initial margin;Biagini;SIAM Journal of Finance Mathematics,2021

4. Arbitrage-free XVA;Bichuch;Mathematical Finance,2018

5. Counterparty risk and funding: A Tale of two puzzles;Bielecki,2014

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3. Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities;Computers & Mathematics with Applications;2023-06

4. Non-linear Approximated Value Adjustments for Derivatives Under Multiple Risk Factors;Computational Science and Its Applications – ICCSA 2022;2022

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