ListarGI-M2NICA - Artigos por tema "Multi-currency"
Mostrando ítems 1-2 de 2
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Total Value Adjustment for European Options in a Multi‐Currency Setting
(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 ... -
XVA in a multi-currency setting with stochastic foreign exchange rates
(Elsevier B.V., 2023-05)[Abstract]: In the present article we address the modelling and the numerical computation of the total value adjustment for European options in a multi-currency setting when the foreign exchange rates between the different ...