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20162026
most citedPolyhedral approximations of the semidefinite cone and their application

6 citations · 14 across the 6 of their papers we have counts for

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q-fin.MF2020

Notes on Backward Stochastic Differential Equations for Computing XVA

Jun Sekine, Akihiro Tanaka

The X-valuation adjustment (XVA) problem, which is a recent topic in mathematical finance, is considered and analyzed. First, the basic properties of backward stochastic differenti…