Arbitrage-free XVA
Year of publication: |
2018
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Authors: | Bichuch, Maxim ; Capponi, Agostino ; Sturm, Stephan |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 28.2018, 2, p. 582-620
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Subject: | arbitrage-free valuation | backward stochastic differential equations | counterparty credit risk | funding spreads | XVA | Kreditrisiko | Credit risk | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Arbitrage Pricing | Arbitrage pricing |
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