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A dynamic programming approach for pricing weather derivatives under issuer default risk

Härdle, Wolfgang; Osipenko, Maria - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-18

Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of weather derivatives under default risk on the issuer...

Persistent link: https://www.econbiz.de/10011760235

Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations

Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802

Persistent link: https://www.econbiz.de/10009381011

Pricing derivatives with counterparty risk and collateralization : a fixed point approach

Kim, Jinbeom; Leung, Tim - In: European journal of operational research : EJOR 249 (2016) 2, pp. 525-539

Persistent link: https://www.econbiz.de/10011436733

A stochastic programming model for dynamic portfolio management with financial derivatives

Barro, Diana; Consigli, Giorgio; Varun, Vivek - In: Journal of banking & finance 140 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013463145

Interest rate swap credit valuation adjustment

Černý, Jakub; Witzany, Jiří - 2014

of the derivative, but also the probability of default of a counterparty. Another complication arises in the calculation …

Persistent link: https://www.econbiz.de/10010358352

Credit derivative evaluation and CVA under the benchmark approach

Baldeaux, Jan; Platen, Eckhard - In: Asia-Pacific financial markets 22 (2015) 3, pp. 305-331

Persistent link: https://www.econbiz.de/10011524811

CVA and FVA to derivatives trades collateralized by cash

Wu, Lixin - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-22

Persistent link: https://www.econbiz.de/10011403893

Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations

Crépey, Stéphane; Dixon, Matthew F. - In: The journal of computational finance 24 (2020) 1, pp. 47-81

Persistent link: https://www.econbiz.de/10012421957

Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model

Chen, Yuwei; Christara, Christiana C. - In: The journal of computational finance 24 (2021) 4, pp. 41-70

Persistent link: https://www.econbiz.de/10012544162

Branching diffusions with jumps, and valuation with systemic counterparties

Belak, Christoph; Hoffmann, Daniel; Seifried, Frank Thomas - In: The journal of computational finance 25 (2021) 3, pp. 51-86

Persistent link: https://www.econbiz.de/10012873083