2 citations · 2 across the 4 of their papers we have counts for
3 papers · 1 filter
On stochastic Langevin and Fokker-Planck equations: the two-dimensional case
Andrea Pascucci, Antonello Pesce
We prove existence, regularity in Hölder classes and estimates from above and below of the fundamental solution of the stochastic Langevin equation. This degenerate SPDE satisfies…
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models
Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee
Various valuation adjustments, or XVAs, can be written in terms of non-linear PIDEs equivalent to FBSDEs. In this paper we develop a Fourier-based method for solving FBSDEs in orde…
PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model
M. C. Calvo-Garrido, S. Diop, A. Pascucci +1
We consider a two-factor model for the valuation of a non callable defaultable bond which pays coupons at certain given dates. The model under consideration is the Jump to Default…