ListarModelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA) por tema "(non)linear PDEs"
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Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
(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 ...