most citedMathematical models and numerical methods for a capital valuation adjustment (KVA) problem

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

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2 papers

math.AP2024★ 2 cited

Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem

D. Trevisani, J. G. López-Salas, C. Vázquez +1

In this work we rigorously establish mathematical models to obtain the capital valuation adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we us…

math.NA2024

Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance

J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2

We present a novel and general methodology for building second-order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two-dimensional financial parabolic P…