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XVA: Credit, Funding and Capital Valuation Adjustments
0 references·5 citing·23 second hop
XVA: Credit, Funding and Capital Valuation Adjustments (2015)XVA: Credit, Funding and Capital Valuatio…On Deep Calibration of (rough) Stochastic Volatility Models (2025)On Deep Calibration of (rough…OTC premia (2019)OTC premiaXVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS (2018)XVA PRINCIPLES, NESTED MONTE …Affine multiple yield curve models (2018)Affine multiple yield curve m…Why derivatives need models: the political economy of derivative valuation models (2017)Why derivatives need models: …An Exact Bond Option Formula (1989)Option valuation using the fast Fourier transform (1999)Affine processes and applications in finance (2003)Multiple Yield Curve Modelling With CBI Processes (2019)Term structure modelling for multiple curves with stochastic discontinuities (2020)Term rates, multicurve term structures and overnight rate benchmarks: A roll–over risk approach (2023)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)How To Do Things With Words (1975)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)Multilevel Monte Carlo Path Simulation (2008)Fractional Brownian Motions, Fractional Noises and Applications (1968)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Robust Pricing and Hedging via Neural SDEs (2020)Short-dated smile under rough volatility: asymptotics and numerics (2021)Deep Curve-Dependent PDEs for Affine Rough Volatility (2023)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Market Liquidity and Funding Liquidity (2008)Intermediary Asset Pricing (2013)The Demand for Central Clearing: To Clear or Not to Clear, That Is the Question (2018)Regulatory Effects on Short Term Interest Rates (2020)Counterparty Risk and Counterparty Choice in the Credit Default Swap Market (2023)
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  • 2019OTC premia41 cited
  • 2018Affine multiple yield curve models37 cited
  • 2025On Deep Calibration of (rough) Stochastic Volatility Models34 cited
  • 2018XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS16 cited
  • 2017Why derivatives need models: the political economy of derivative valuation models10 cited

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