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PDE Models and Numerical Methods for Total Value Adjustment in European and American Options with Counterparty Risk
(Elsevier Inc., 2017-09-01)
[Abstract] Since the last financial crisis, a relevant effort in quantitative finance research concerns the consideration of counterparty risk in financial contracts, specially in the pricing of derivatives. As a consequence ...
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 ...