Listar OpenAIRE por autor "Arregui, Íñigo"
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Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
Arregui, Íñigo; Simonella, Roberta; Vázquez, Carlos (Elsevier B.V., 2024-03)[Abstract]: In this article we make some new relevant contributions to the computation of total valuation adjustments (XVA) for financial derivatives involving several currencies. From the modelling point of view, for the ... -
Total Value Adjustment for European Options in a Multi‐Currency Setting
Arregui, Íñigo; Simonella, Roberta; Vázquez, Carlos (Elsevier, 2022)[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 ...