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Counterparty Risk and Funding

https://doi.org/10.1201/9781315373621
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Perturbative Expansion Technique for Non-Linear FBSDEs With Interacting Particle Method
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Portfolio Level FVA Under Perfect Collateralization and Re-Hypothecation
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Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
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A General Framework for the Benchmark Pricing in a Fully Collateralized Market
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Pricing, Valuation and Hedging of Credit Derivatives
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Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-Term Expansions
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AAD and Least Squares Monte Carlo: Fast Bermudan-Style Options and XVA Greeks
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Robust XVA
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Relative Value Pricing for Agents with Incomplete Market Access with an Application to FVA
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Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations
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Reverse Stress Testing, Bottom Up
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Interest Rate Models
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Market Risk Measurement and Management
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Non-linear Approximated Value Adjustments for Derivatives Under Multiple Risk Factors
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Nonlinearity Valuation Adjustment
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Derivative Pricing for a Multi-Curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model
inferred← citeshttps://doi.org/10.1007/978-3-319-33446-2_3openalex-snapshot
Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives
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Credit Derivatives and Counterparty Credit Risk
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Counterparty risk and funding: immersion and beyond
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Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method
inferred← citeshttps://doi.org/10.1007/s10690-019-09271-7openalex-snapshot
Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High Dimensional BSDEs
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Resolving small random symmetric linear systems on graphics processing units
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Deep high-order splitting method for semilinear degenerate PDEs and application to high-dimensional nonlinear pricing models
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Integrated structural approach to Credit Value Adjustment
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Funding, repo and credit inclusive valuation as modified option pricing
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Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
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Structured Dependence between Stochastic Processes
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Introduction
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Strong Markov Consistency of Multivariate Markov Families and Processes
inferred← citeshttps://doi.org/10.1017/9781316650530.003openalex-snapshot
Consistency of Finite Multivariate Markov Chains
inferred← citeshttps://doi.org/10.1017/9781316650530.004openalex-snapshot
Consistency of Finite Multivariate Conditional Markov Chains
inferred← citeshttps://doi.org/10.1017/9781316650530.005openalex-snapshot
Consistency of Multivariate Special Semimartingales
inferred← citeshttps://doi.org/10.1017/9781316650530.006openalex-snapshot
Strong Markov Family Structures
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Markov Chain Structures
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Conditional Markov Chain Structures
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Special Semimartingale Structures
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Archimedean Survival Processes, Markov Consistency, ASP Structures
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Generalized Multivariate Hawkes Processes
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Applications of Stochastic Structures
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Stochastic Analysis: Selected Concepts and Results Used in this Book
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Markov Processes and Markov Families
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Finite Markov Chains: Auxiliary Technical Framework
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Crash Course on Conditional Markov Chains and on Doubly Stochastic Markov Chains
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Evolution Systems and Semigroups of Linear Operators
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Martingale Problem: Some New Results Needed in this Book
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Function Spaces and Pseudo-Differential Operators
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Notation Index
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Subject Index
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Stopping times occurring simultaneously
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A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
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A Lévy HJM multiple-curve model with application to CVA computation
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Rational multi-curve models with counterparty-risk valuation adjustments
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Impact of multiple curve dynamics in credit valuation adjustments under collateralization
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XVA analysis from the balance sheet
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Quantitative reverse stress testing, bottom up
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Asymptotic expansion for forward-backward SDEs with jumps
inferred← citeshttps://doi.org/10.1111/mafi.12145openalex-snapshot
Fair bilateral pricing under funding costs and exogenous collateralization
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Arbitrage‐free XVA
inferred← citeshttps://doi.org/10.1111/mafi.12260openalex-snapshot
Robust XVA
inferred← citeshttps://doi.org/10.1137/22m1506882openalex-snapshot
Mild to Classical Solutions for XVA Equations under Stochastic Volatility
inferred← citeshttps://doi.org/10.1142/s0219024915500119openalex-snapshot
A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING
inferred← citeshttps://doi.org/10.1142/s0219024918500309openalex-snapshot
XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS
inferred← citeshttps://doi.org/10.1142/s0219024920500107openalex-snapshot
CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS
inferred← citeshttps://doi.org/10.1142/s0219024921500229openalex-snapshot
FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
inferred← citeshttps://doi.org/10.1142/s2424786315500395openalex-snapshot
Real-time risk management: An AAD-PDE approach
inferred← citeshttps://doi.org/10.1142/s2424786316500195openalex-snapshot
A general framework for the benchmark pricing in a fully collateralized market
inferred← citeshttps://doi.org/10.1186/s41546-017-0025-4openalex-snapshot
Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
inferred← citeshttps://doi.org/10.1186/s41546-018-0027-xopenalex-snapshot
Arbitrage-free pricing of derivatives in nonlinear market models
inferred← citeshttps://doi.org/10.1214/21-ejp658openalex-snapshot
American options in nonlinear markets
inferred← citeshttps://doi.org/10.1287/moor.2017.0891openalex-snapshot
Pathwise Dynamic Programming
inferred← citeshttps://doi.org/10.1515/strm-2017-0034openalex-snapshot
XVA metrics for CCP optimization
inferred← citeshttps://doi.org/10.3233/af-170201openalex-snapshot
AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks
inferred← citeshttps://doi.org/10.3390/jrfm17070272openalex-snapshot
Perspectives on Migration and Financial Markets Research
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Nonlinear Valuation with XVAs: Two Converging Approaches
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Effects of Nasal and Oral Breathing on Respiratory Muscle and Brain Function: A Review
inferred← citeshttps://doi.org/10.70675/11fbe356z3c18z4edfza702za8789d3265b1openalex-snapshot
Numerical methods by optimal quantization in finance
inferred← citeshttps://doi.org/10.70675/25e830bdz1051z44edzb797zc2d5f618b02eopenalex-snapshot
Sovereign risk modelling and applications
inferred← citeshttps://doi.org/10.70675/6f72c9caz1d0cz4064z9dbfz078bd664db38openalex-snapshot
Handling derivatives risks with XVAs in a one-period network model
inferred← citeshttps://doi.org/10.70675/b00594c3z73b2z4332zb01dz38fda97a0c3dopenalex-snapshot
Learning From Simulated Data in Finance : XVAs, Risk Measures and Calibration
inferred← citeshttps://doi.org/10.70675/b9f4f4abzebd0z4538zb077z3722a9cb0a9eopenalex-snapshot
XVA analysis, risk measures and applications to centrally cleared trading
inferred← citeshttps://doi.org/10.70675/e72e8e24z4bfbz41c3z9dcfzecfc3cf24f26openalex-snapshot
Malliavin calculus for Markov chains and counterparty risk
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