Found 11 Documents (Results 1–11)
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).
When capital is a funding source: the anticipated backward stochastic differential equations of X-value adjustments. (English) Zbl 1443.91286
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios. (English) Zbl 1432.91130
MSC:
91G40
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).
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).
Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo. (English) Zbl 1294.91005
Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-4665-1645-8/hbk). xxi, 365 p. (2014).
Reviewer: Tomáš Cipra (Praha)
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