Arbitrage-free XVA

Maxim Bichuch, Agostino Capponi, Stephan Sturm

Year of publication:	2018
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
Subject:	arbitrage-free valuation \| backward stochastic diﬀerential equations \| counterparty credit risk \| funding spreads \| XVA \| Kreditrisiko \| Credit risk \| Derivat \| Derivative \| Optionspreistheorie \| Option pricing theory \| Zinsstruktur \| Yield curve \| Stochastischer Prozess \| Stochastic process \| Arbitrage Pricing \| Arbitrage pricing \| Kreditderivat \| Credit derivative \| Risikoprämie \| Risk premium

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1111/mafi.12146 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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