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Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks

Citations

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Cited by:

  1. Yannick Armenti & Stéphane Crépey, 2017. "Central Clearing Valuation Adjustment," Working Papers hal-01169169, HAL.
  2. Claudio Albanese & Simone Caenazzo & St'ephane Cr'epey, 2016. "Capital Valuation Adjustment and Funding Valuation Adjustment," Papers 1603.03012, arXiv.org.
  3. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
  4. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
  5. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2016. "Arbitrage-Free XVA," Papers 1608.02690, arXiv.org.
  6. Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
  7. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2015. "Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs," Papers 1506.00686, arXiv.org, revised Nov 2015.
  8. Stéphane Crépey & Shiqi Song, 2016. "Counterparty risk and funding: immersion and beyond," Finance and Stochastics, Springer, vol. 20(4), pages 901-930, October.
  9. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Papers 2001.11012, arXiv.org, revised Mar 2021.
  10. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Other publications TiSEM 1f3bd844-92ab-4104-8f57-9, Tilburg University, School of Economics and Management.
  11. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2017. "An indifference approach to the cost of capital constraints: KVA and beyond," Papers 1708.05319, arXiv.org.
  12. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.
  13. Enrico Biffis & Beniamin Goldys & Cecilia Prosdocimi & Margherita Zanella, 2023. "A pricing formula for delayed claims: appreciating the past to value the future," Mathematics and Financial Economics, Springer, volume 17, number 2, February.
  14. Marek Rutkowski & Matthew Bickersteth, 2021. "Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization," Papers 2112.14033, arXiv.org.
  15. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
  16. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2018. "Robust XVA," Papers 1808.04908, arXiv.org, revised Feb 2020.
  17. Damiano Brigo & Federico Graceffa & Alexander Kalinin, 2021. "Mild to classical solutions for XVA equations under stochastic volatility," Papers 2112.11808, arXiv.org.
  18. Stéphane Crépey & Shiqi Song, 2014. "Counterparty risk and funding: Immersion and beyond," Working Papers hal-00989062, HAL.
  19. Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
  20. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2020. "Robust XVA," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 738-781, July.
  21. Xing Gao & Daniel Ladley, 2022. "Noise trading and market stability," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1283-1301, October.
  22. Lokman A. Abbas-Turki & Stéphane Crépey & Babacar Diallo, 2018. "Xva Principles, Nested Monte Carlo Strategies, And Gpu Optimizations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-40, September.
  23. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2015. "Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples," Papers 1501.05893, arXiv.org, revised Aug 2016.
  24. Wujiang Lou, 2015. "MVA Transfer Pricing," Papers 1512.07337, arXiv.org, revised Jul 2016.
  25. Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine, 2021. "XVA analysis from the balance sheet," Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 99-123, January.
  26. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
  27. Crépey, Stéphane & Song, Shiqi, 2015. "BSDEs of counterparty risk," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3023-3052.
  28. Meng Han & Yeqi He & Hu Zhang, 2014. "A note on discounting and funding value adjustments for derivatives," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-34.
  29. Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2018. "Impact of multiple curve dynamics in credit valuation adjustments under collateralization," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 31-44, January.
  30. Yining Ding & Ruyi Liu & Marek Rutkowski, 2024. "Cross-Currency Basis Swaps Referencing Backward-Looking Rates," Papers 2410.08477, arXiv.org.
  31. Stéphane Crépey & Wissal Sabbagh & Shiqi Song, 2020. "When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments," Post-Print hal-03910119, HAL.
  32. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments," Papers 2209.12222, arXiv.org, revised Jun 2024.
  33. Tomasz R. Bielecki & Igor Cialenco & Marek Rutkowski, 2017. "Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models," Papers 1701.08399, arXiv.org, revised Apr 2018.
  34. Damiano Brigo & Cyril Durand, 2014. "An initial approach to Risk Management of Funding Costs," Papers 1410.2034, arXiv.org.
  35. Stéphane Crépey & Shiqi Song, 2014. "BSDEs of Counterparty Risk," Working Papers hal-01088941, HAL.
  36. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers 2204.02680, arXiv.org, revised Jun 2022.
  37. Claudio Albanese & Marc Chataigner & Stéphane Crépey, 2020. "Wealth Transfers, Indifference Pricing, and XVA Compression Schemes," Post-Print hal-03910047, HAL.
  38. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.
  39. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
  40. Damiano Brigo & Cristin Buescu & Marek Rutkowski, 2016. "Funding, repo and credit inclusive valuation as modified option pricing," Papers 1602.05998, arXiv.org, revised Jun 2017.
  41. Yannick Armenti & St'ephane Cr'epey, 2015. "Central Clearing Valuation Adjustment," Papers 1506.08595, arXiv.org, revised Feb 2017.
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