Feynman Kac for Functional Jump Diffusions with an Application to Credit Value Adjustment

We provide a proof for the functional Feynman-Kac Theorem for jump diffusions with path-dependent coefficients. To obtain this result we first study the existence and uniqueness of solutions to functional jump diffusions and derive a useful bound for the solution. We apply our results to the problem of Credit Value Adjustment (CVA) in a bilateral counterparty risk framework. We derive the corresponding functional CVA-PIDE and extend existing results on CVA to a setting which enables the pricing of path-dependent derivatives

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Year of publication:	2015
Authors:	Kromer, Eduard
Other Persons:	Overbeck, Ludger (contributor) ; Röder, Jasmin (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Stochastischer Prozess \| Stochastic process

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