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Robust XVA

https://doi.org/10.1111/mafi.12260
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Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-4471-5331-3openalex-snapshot
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: BSDEs with Jumps
inferredcites →https://doi.org/10.1007/978-3-540-31299-4openalex-snapshot
The Mathematics of Arbitrage
inferredcites →https://doi.org/10.1007/s00780-016-0306-2openalex-snapshot
A BSDE approach to fair bilateral pricing under endogenous collateralization
inferredcites →https://doi.org/10.1016/0304-405x(95)00836-4openalex-snapshot
Firm-specific information and the correlation between individual stocks and bonds
inferredcites →https://doi.org/10.1016/j.jfineco.2013.08.002openalex-snapshot
Liquidity risk of corporate bond returns: conditional approach
inferredcites →https://doi.org/10.1016/j.spa.2015.02.010openalex-snapshot
BSDEs of counterparty risk
inferredcites →https://doi.org/10.1080/13504869500000005openalex-snapshot
Pricing and hedging derivative securities in markets with uncertain volatilities
inferredcites →https://doi.org/10.1080/13504869500000007openalex-snapshot
Uncertain volatility and the risk-free synthesis of derivatives
inferredcites →https://doi.org/10.1111/0022-1082.00389openalex-snapshot
Counterparty Risk and the Pricing of Defaultable Securities
inferredcites →https://doi.org/10.1111/1467-9965.00022openalex-snapshot
Backward Stochastic Differential Equations in Finance
inferredcites →https://doi.org/10.1111/1467-9965.00047openalex-snapshot
Robustness of the Black and Scholes Formula
inferredcites →https://doi.org/10.1111/j.1467-9965.2006.00271.xopenalex-snapshot
PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
inferredcites →https://doi.org/10.1111/j.1467-9965.2007.00298.xopenalex-snapshot
CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
inferredcites →https://doi.org/10.1111/j.1467-9965.2012.00520.xopenalex-snapshot
ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
inferredcites →https://doi.org/10.1111/j.1468-0262.2004.00538.xopenalex-snapshot
A General Formula for Valuing Defaultable Securities
inferredcites →https://doi.org/10.1111/j.2517-6161.1984.tb01308.xopenalex-snapshot
Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models
inferredcites →https://doi.org/10.1111/jofi.12739openalex-snapshot
Funding Value Adjustments
inferredcites →https://doi.org/10.1111/mafi.12004openalex-snapshot
BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
inferredcites →https://doi.org/10.1111/mafi.12005openalex-snapshot
BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
inferredcites →https://doi.org/10.1111/mafi.12145openalex-snapshot
Fair bilateral pricing under funding costs and exogenous collateralization
inferredcites →https://doi.org/10.1111/mafi.12146openalex-snapshot
Arbitrage‐free XVA
inferredcites →https://doi.org/10.1137/1.9780898719222openalex-snapshot
Ordinary Differential Equations
inferredcites →https://doi.org/10.1137/130928819openalex-snapshot
Valuation and Hedging of Contracts with Funding Costs and Collateralization
inferredcites →https://doi.org/10.1137/130939791openalex-snapshot
Density Approach in Modeling Successive Defaults
inferredcites →https://doi.org/10.1137/17m1116908openalex-snapshot
Uncertain Volatility Models with Stochastic Bounds
inferredcites →https://doi.org/10.1142/s0219024908004956openalex-snapshot
PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
inferredcites →https://doi.org/10.1142/s0219024911006498openalex-snapshot
VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
inferredcites →https://doi.org/10.1142/s2345768614500019openalex-snapshot
Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
inferredcites →https://doi.org/10.1201/9781315373621openalex-snapshot
Counterparty Risk and Funding
inferredcites →https://doi.org/10.1214/105051606000000169openalex-snapshot
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
inferredcites →https://doi.org/10.1214/aoap/1027961040openalex-snapshot
Volatility misspecification, option pricing and superreplication via coupling
inferredcites →https://doi.org/10.1515/9783110212075openalex-snapshot
Stochastic Finance
inferredcites →https://doi.org/10.21314/jcr.2009.092openalex-snapshot
Credit value adjustment for credit default swaps via the structural default model
inferredcites →https://doi.org/10.21314/jcr.2011.131openalex-snapshot
Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs
inferredcites →https://doi.org/10.2139/ssrn.1969114openalex-snapshot
Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation
inferredcites →https://doi.org/10.2139/ssrn.2400324openalex-snapshot
KVA: Capital Valuation Adjustment
inferredcites →https://doi.org/10.2139/ssrn.2482955openalex-snapshot
Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option
inferredcites →https://doi.org/10.2139/ssrn.2745909openalex-snapshot
Capital Valuation Adjustment and Funding Valuation Adjustment
inferredcites →https://doi.org/10.2469/faj.v52.n6.2040openalex-snapshot
Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds
inferredcites →https://doi.org/10.48550/arxiv.1801.10498openalex-snapshot
Ambiguity in defaultable term structure models
inferredcites →https://doi.org/10.5089/9781455201839.001openalex-snapshot
The (Sizable) Role of Rehypothecation in the Shadow Banking System

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4605168openalex-extracted
Variance Optimality of Empirical Martingale Simulation Estimators
inferred← citeshttps://doi.org/10.1137/20m1332153openalex-snapshot
A Unified Approach to xVA with CSA Discounting and Initial Margin
inferred← citeshttps://doi.org/10.1142/s0219024924500109openalex-snapshot
EFFICIENT WRONG-WAY RISK MODELING FOR FUNDING VALUATION ADJUSTMENTS
inferred← citeshttps://doi.org/10.1214/21-ejp658openalex-snapshot
American options in nonlinear markets
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