Approximate value adjustments for European claims-Reference-Cited by-同舟云学术

Approximate value adjustments for European claims

Published:2021-10 Issue: Volume: Page:
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Antonelli Fabio^ORCID,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.

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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