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Found 11 Documents (Results 1–11)

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Albanese, Claudio; Chataigner, Marc; Crépey, Stéphane

Wealth transfers, indifference pricing, and XVA compression schemes. (English) Zbl 1448.91327

Jiao, Ying (ed.), From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 – June 9, 2017. Singapore: Springer. Math. Lect. Peking Univ., 219-248 (2020).
MSC:  91G70 91G45
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Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea

Analysis of nonlinear valuation equations under credit and funding effects. (English) Zbl 1398.91635

Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 37-52 (2016).
MSC:  91G40 91G80 60H10
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Brigo, Damiano; Liu, Qing D.; Pallavicini, Andrea; Sloth, David

Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs. (English) Zbl 1398.91636

Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 3-35 (2016).
MSC:  91G40 60H10 91G20
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