Branching diffusions with jumps, and valuation with systemic counterparties
Christoph Belak, Daniel Hoffmann and Frank Seifried
| Year of publication: |
2021
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|---|---|
| Authors: | Belak, Christoph ; Hoffmann, Daniel ; Seifried, Frank Thomas |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 25.2021, 3, p. 51-86
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| Subject: | branching diffusion | mixed local-nonlocal partial differential equations (PDFs) | nonlinear jumps | Monte Carlo simulation | credit valuation adjustment | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Analysis | Mathematical analysis | Kreditrisiko | Credit risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2021.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012873083