40 citations · 123 across the 17 of their papers we have counts for
8 papers · 1 filter
When to Sell an Asset? - A Distribution Builder Approach
Peter Carr, Stephan Sturm
We consider the question of the optimal timing of the sale of an asset with stochastic dynamics. Our analysis is based on the method of the distribution builder introduced by Sharp…
Risk-indifference Pricing of American-style Contingent Claims
Rohini Kumar, Frederick "Forrest" Miller, Hussein Nasralah +1
This paper studies the pricing of contingent claims of American style, using indifference pricing by fully dynamic convex risk measures. We provide a general definition of risk-ind…
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…
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…
Arbitrage-Free XVA
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We develop a framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based o…
Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE characterizing buyer's and seller's XVA in a framework that allows for asymmetries i…
Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We develop a novel framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. B…
On refined volatility smile expansion in the Heston model
P. Friz, S. Gerhold, A. Gulisashvili +1
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment can be obtained by solving (numerically) a simple equation. This…