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20082026
most citedStochastic filtering via L2 projection on mixture manifolds with computer algorithms and numerical examples

26 citations · 157 across the 57 of their papers we have counts for

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Showing 2021 · math.PRShow all

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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…