3 papers
q-fin.RM2021
A note on a PDE approach to option pricing under xVA
Falko Baustian, Martin Fencl, Jan Pospíšil +1
In this paper we study partial differential equations (PDEs) that can be used to model value adjustments. Different value adjustments denoted generally as xVA are nowadays added to…
math.AP2020
Space-Time Analyticity of Weak Solutions to Semilinear Parabolic Systems with Variable Coefficients
Falko Baustian, Peter Takáč
Analytic smooth solutions of a general, strongly parabolic semi-linear Cauchy problem of -th order in with analytic coefficients (in space and time v…
math.NT2019
On asymptotic behaviour of Dirichlet inverse
Falko Baustian, Vladimir Bobkov
Let be an arithmetic function with and let be its reciprocal with respect to the Dirichlet convolution. We study the asymptotic behaviour of $|f^{-1}…