11 citations · 31 across the 9 of their papers we have counts for
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math.PR2021★ 2 cited
Mild to classical solutions for XVA equations under stochastic volatility
Damiano Brigo, Federico Graceffa, Alexander Kalinin
We extend the valuation of contingent claims in presence of default, collateral and funding to a random functional setting and characterise pre-default value processes by martingal…
math.PR2021★ 1 cited
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
Alexander Kalinin, Thilo Meyer-Brandis, Frank Proske
We establish stability and pathwise uniqueness of solutions to Wiener noise driven McKean-Vlasov equations with random non-Lipschitz continuous coefficients. In the deterministic c…