Add to ORKGVarious valuation adjustments, or XVAs, can be written in terms of non-linear PIDEs equivalent to FBSDEs. In this paper we develop a Fourier-based method for solving FBSDEs in order to efficiently and accurately price Bermudan derivatives, including options and swaptions, with XVA under the flexible dynamics of a local L\ue9vy model: this framework includes a local volatility function and a local jump measure. Due to the unavailability of the characteristic function for such processes, we use an asymptotic approximation based on the adjoint formulation of the problem
Since the 2007/2008 financial crisis, the total value adjustment (XVA) should be included when prici...
A fast and accurate method for pricing early exercise and certain exotic options in computational fi...
We develop an efficient Fourier-based numerical method for pricing Bermudan and discretely monitored...
Various valuation adjustments, or XVAs, can be written in terms of non-linear PIDEs equivalent to FB...
Various valuation adjustments (XVAs) can be written in terms of nonlinear partial integro-differenti...
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential ...
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential ...
This study contributes to understanding Valuation Adjustments (xVA) by focussing on the dynamic hedg...
Since the 2007/2008 financial crisis, the total value adjustment (XVA) should be included when prici...
International audienceCredit value adjustment (CVA) is the charge applied by financial institutions ...
Highly accurate approximation pricing formulae and option Greeks are obtained for European-type opti...
We develop a consistent, arbitrage-free framework for valuing derivative trades with collateral, cou...
Two new numerical methods for the valuation of American and Bermudan options are proposed, which adm...
This paper proposes two numerical solution based on Product Optimal Quan-tization for the pricing of...
This thesis focuses on the numerical calculation of fluctuation identities with both dis- crete and ...
Since the 2007/2008 financial crisis, the total value adjustment (XVA) should be included when prici...
A fast and accurate method for pricing early exercise and certain exotic options in computational fi...
We develop an efficient Fourier-based numerical method for pricing Bermudan and discretely monitored...
Various valuation adjustments, or XVAs, can be written in terms of non-linear PIDEs equivalent to FB...
Various valuation adjustments (XVAs) can be written in terms of nonlinear partial integro-differenti...
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential ...
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential ...
This study contributes to understanding Valuation Adjustments (xVA) by focussing on the dynamic hedg...
Since the 2007/2008 financial crisis, the total value adjustment (XVA) should be included when prici...
International audienceCredit value adjustment (CVA) is the charge applied by financial institutions ...
Highly accurate approximation pricing formulae and option Greeks are obtained for European-type opti...
We develop a consistent, arbitrage-free framework for valuing derivative trades with collateral, cou...
Two new numerical methods for the valuation of American and Bermudan options are proposed, which adm...
This paper proposes two numerical solution based on Product Optimal Quan-tization for the pricing of...
This thesis focuses on the numerical calculation of fluctuation identities with both dis- crete and ...
Since the 2007/2008 financial crisis, the total value adjustment (XVA) should be included when prici...
A fast and accurate method for pricing early exercise and certain exotic options in computational fi...
We develop an efficient Fourier-based numerical method for pricing Bermudan and discretely monitored...