4 papers
XVA Valuation under Market Illiquidity
Weijie Pang, Stephan Sturm
Before the 2008 financial crisis, most research in financial mathematics focused on pricing options without considering the effects of counterparties' defaults, illiquidity problem…
A sensitivity analysis of the long-term expected utility of optimal portfolios
Hyungbin Park, Stephan Sturm
This paper discusses the sensitivity of the long-term expected utility of optimal portfolios for an investor with constant relative risk aversion. Under an incomplete market given…
A Risk-Sharing Framework of Bilateral Contracts
Junbeom Lee, Stephan Sturm, Chao Zhou
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce differe…
Robust XVA
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We introduce an arbitrage-free framework for robust valuation adjustments. An investor trades a credit default swap portfolio with a risky counterparty, and hedges credit risk by t…