3 papers
math.PR2020
Credit Valuation Adjustment in Credit Risk with Simultaneous Defaults Possibility
Aditi Dandapani, Philip Protter
In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the su…
q-fin.ST2019
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Aditi Dandapani, Paul Jusselin, Mathieu Rosenbaum
Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phen…
q-fin.MF2019
Strict Local Martingales and the Khasminskii test for Explosions
Philip Protter, Aditi Dandapani
We exhibit sufficient conditions such that components of a multidimensional SDE giving rise to a local martingale are strict local martingales or martingales. We assume that th…