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20192021
most citedMild to classical solutions for XVA equations under stochastic volatility

2 citations · 2 across the 3 of their papers we have counts for

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q-fin.MF2019

On the consistency of jump-diffusion dynamics for FX rates under inversion

Federico Graceffa, Damiano Brigo, Andrea Pallavicini

In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given…