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Arbitrage-free XVA

  • Published:2017-04-18 Issue:2 Volume:28 Page:582-620
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Bichuch Maxim1,Capponi Agostino2,Sturm Stephan3

Affiliation:

1. Department of Applied Mathematics and Statistics; Johns Hopkins University; Baltimore MD

2. Industrial Engineering and Operations Research Department; Columbia University; New York NY

3. Department of Mathematical Sciences; Worcester Polytechnic Institute; Worcester MA

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference36 articles.

1. Basel III 2010 A global regulatory framework for more resilient banks and banking systems www.bis.org

2. A general framework for pricing credit risk;Bélanger;Mathematical Finance,2004

3. Bichuch , M. Capponi , A. Sturm , S. 2015b Arbitrage-free pricing of XVA-Part II: PDE representations and numerical analysis http://ssrn.com/abstract=2568118

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