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Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement
16 references·0 citing·46 second hop
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement (2018)Nonlinear valuation under credit, funding…Funding Value Adjustments (2018)Funding Value AdjustmentsSovereign and corporate credit risk: Evidence from the Eurozone (2015)Sovereign and corporate credi…Central clearing of OTC derivatives: Bilateral vs multilateral netting (2014)Central clearing of OTC deriv…ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)ARBITRAGE‐FREE BILATERAL COUN…Does a Central Clearing Counterparty Reduce Counterparty Risk? (2011)Does a Central Clearing Count…Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs (2010)Partial Differential Equation…Mathematical Methods for Financial Markets (2010)Mathematical Methods for Fina…COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)COUNTERPARTY RISK FOR CREDIT …Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Discrete-time approximation a…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case (2002)On the existence and uniquene…Stochastic differential equations and their applications (1997)Stochastic differential equat…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Swap Rates and Credit Quality (1996)Swap Rates and Credit QualityBackward-Forward Stochastic Differential Equations (1993)Backward-Forward Stochastic D…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)Limit Theorems for Stochastic Processes (2003)Monte Carlo and Quasi-Monte Carlo Methods (2013)Deep Attentive Learning for Stock Movement Prediction From Social Media Text and Company Correlations (2020)Brownian Motion and Stochastic Calculus (1988)Adapted solution of a backward stochastic differential equation (1990)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)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)Brownian Motion and Stochastic Calculus (2007)The Malliavin Calculus and Related Topics (1995)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)The Malliavin Calculus and Related Topics (2006)Control of McKean–Vlasov dynamics versus mean field games (2012)Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)Stochastic Differential Utility (1992)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Optimal Consumption and Portfolio Selection with Stochastic Differential Utility (1999)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)Stochastic Integration and Differential Equations (2005)Affine Term Structure Models (2010)The Pricing of Options and Corporate Liabilities (1973)Theory of rational option pricing (2005)Partial Differential Equations (2010)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)Numerical solution of stochastic differential equations (2016)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Systemic Risk in Financial Systems (2001)Securities lending, shorting, and pricing (2002)Credit Default Swaps and the Credit Crisis (2010)Credit Default Swaps and the Empty Creditor Problem (2011)Bubbles, Financial Crises, and Systemic Risk (2013)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients (2010)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)
this work references cited by second hop

References

  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1997Stochastic differential equations and their applications1,351 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 2011Does a Central Clearing Counterparty Reduce Counterparty Risk?600 cited
  • 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
  • 2010Mathematical Methods for Financial Markets482 cited
  • 1996Swap Rates and Credit Quality480 cited
  • 1993Backward-Forward Stochastic Differential Equations345 cited
  • 2002On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case267 cited
  • 2018Funding Value Adjustments187 cited
  • 2010Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs179 cited
  • 2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION175 cited
  • 2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS158 cited
  • 2015

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Sovereign and corporate credit risk: Evidence from the Eurozone
141 cited
  • 2014Central clearing of OTC derivatives: Bilateral vs multilateral netting118 cited
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