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Counterparty risk and funding: immersion and beyond
16 references·3 citing·36 second hop
Counterparty risk and funding: immersion and beyond (2016)Counterparty risk and funding: immersion …Semimartingale Theory and Stochastic Calculus (2019)Semimartingale Theory and Sto…Valuation and Hedging of Contracts with Funding Costs and Collateralization (2015)Valuation and Hedging of Cont…BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration (2015)BSDEs with monotone generator…Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks (2014)Nonlinear consistent valuatio…Counterparty Risk and Funding: A Tale of Two Puzzles (2014)Counterparty Risk and Funding…Counterparty Risk and Funding (2014)Counterparty Risk and FundingDynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (2013)Dynamic Hedging of Portfolio …Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (2013)Counterparty Credit Risk, Col…Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: BSDEs with Jumps (2013)Backward Stochastic Different…BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)BILATERAL COUNTERPARTY RISK U…ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)ARBITRAGE‐FREE BILATERAL COUN…ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME (2012)ANALYTICAL APPROXIMATION FOR …Progressive enlargement of filtrations with initial times (2009)Progressive enlargement of fi…COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)COUNTERPARTY RISK FOR CREDIT …Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Hedging Contingent Claims with Constrained Portfolios (1993)Hedging Contingent Claims wit…Numerical methods for backward stochastic differential equations: A survey (2023)Numerical methods for backwar…XVA analysis from the balance sheet (2020)XVA analysis from the balance…BSDEs of counterparty risk (2015)BSDEs of counterparty riskLimit Theorems for Stochastic Processes (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments (2012)Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High Dimensional BSDEs (2017)A Theory of the Term Structure of Interest Rates (1985)Stochastic Integration and Differential Equations (2005)Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation (2011)Pricing vulnerable options with stochastic volatility (2017)The Pricing of Options and Corporate Liabilities (1973)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Partial Differential Equations (2010)Adapted solution of a backward stochastic differential equation (1990)Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (2016)A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations (2018)Existence and uniqueness results for BSDE with jumps: the whole nine yards (2018)Pricing Swap Default Risk (1994)Interest Rate Models Theory and Practice (2001)Interest rate models : theory and practice : with smile, inflation and credit (2006)Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (2008)Credit value adjustment for credit default swaps via the structural default model (2009)A General Formula for Valuing Defaultable Securities (2004)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)Hedging options for a large investor and forward-backward SDE's (1996)Optional decompositions under constraints (1997)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Financial Engineering with Copulas Explained (2014)A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (2014)A Lévy HJM multiple-curve model with application to CVA computation (2014)Arbitrage‐free XVA (2017)OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL (2014)Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting (2018)Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework (2020)
this work references cited by second hop

References

  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2019Semimartingale Theory and Stochastic Calculus488 cited
  • 1993Hedging Contingent Claims with Constrained Portfolios250 cited
  • 2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION175 cited
  • 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA163 cited
  • 2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS158 cited
  • 2013Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes101 cited
  • 2015BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration92 cited
  • 2013Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: BSDEs with Jumps87 cited
  • 2014Counterparty Risk and Funding83 cited
  • 2009Progressive enlargement of filtrations with initial times78 cited
  • 2013Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model63 cited
  • 2015Valuation and Hedging of Contracts with Funding Costs and Collateralization62 cited
  • 2014Counterparty Risk and Funding: A Tale of Two Puzzles62 cited
  • 2012

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ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
54 cited
  • 2014Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks53 cited
  • Cited by

    • 2020XVA analysis from the balance sheet33 cited
    • 2023Numerical methods for backward stochastic differential equations: A survey32 cited
    • 2015BSDEs of counterparty risk27 cited