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Total Value Adjustment for European Options in a Multi‐Currency Setting
dc.contributor.author | Arregui, Íñigo | |
dc.contributor.author | Simonella, Roberta | |
dc.contributor.author | Vázquez, Carlos | |
dc.date.accessioned | 2021-11-10T16:14:14Z | |
dc.date.available | 2021-11-10T16:14:14Z | |
dc.date.issued | 2022 | |
dc.identifier.citation | ARREGUI, Iñigo; SIMONELLA, Roberta; VÁZQUEZ, Carlos. Total value adjustment for European options in a multi‐currency setting. Applied Mathematics and Computation, 2022, vol. 413, p. 126647. https://doi.org/10.1016/j.amc.2021.126647 | es_ES |
dc.identifier.uri | http://hdl.handle.net/2183/28844 | |
dc.description | Financiado para publicación en acceso aberto: Universidade da Coruña/CISUG | es_ES |
dc.description.abstract | [Abstract] In this article we mainly extend to a multi-currency setting some previous works in the literature concerning total value adjustments in a single currency framework. The motivation comes from the fact that financial institutions operate in global markets, so that the financial derivatives in their portfolios involve different currencies. More precisely, in this multi-currency setting we pose the PDE formulations for pricing the total adjustment and the financial derivative with counterparty risk. Moreover, we also formulate the problem in terms of expectations, which allows the use of suitable Monte Carlo techniques that overcome the curse of dimensionality associated to the numerical solution of PDE formulation, when a high number of stochastic factors are involved. Finally, we present some examples to illustrate the performance of the formulations and the proposed numerical techniques. | es_ES |
dc.description.sponsorship | This work has been partially funded by EU H2020-MSCA-ITN-2018 (ABC-EU-XVA Grant Agreement 813261), Spanish Ministry of Science and Innovation (Grant PID2019-108584RB-I00) and by Galician Government (Grant ED431C2018/033), both including FEDER financial support. Authors also acknowledge the support received from the Centro de Investigacin de Galicia (CITIC), funded by Xunta de Galicia and the European Union (European Regional Development Fund- Galicia 2014-2020 Program), by grant ED431G 2019/01 | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431C2018/033 | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431G 2019/01 | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Elsevier | es_ES |
dc.relation | info:eu-repo/grantAgreement/EC/H2020/813261 | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-108584RB-I00/ES/METODOS MATEMATICOS Y COMPUTACIONALES PARA NUEVOS RETOS EN FINANZAS CUANTITATIVAS, MEDIAMBIENTE, BIOTECNOLOGIA E INGENIERIA | |
dc.relation.uri | https://doi.org/10.1016/j.amc.2021.126647 | es_ES |
dc.rights | Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0) | es_ES |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | European options | es_ES |
dc.subject | Multi-currency | es_ES |
dc.subject | Counterparty risk | es_ES |
dc.subject | Total value adjustment | es_ES |
dc.subject | Monte Carlo method | es_ES |
dc.title | Total Value Adjustment for European Options in a Multi‐Currency Setting | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | Applied Mathematics and Computation | es_ES |
UDC.volume | 413 | es_ES |
UDC.startPage | 126647 | es_ES |
dc.identifier.doi | 10.1016/j.amc.2021.126647 |
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