85 citations · 187 across the 42 of their papers we have counts for
4 papers · 1 filter
Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE characterizing buyer's and seller's XVA in a framework that allows for asymmetries i…
Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We develop a novel framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. B…
Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios
Lijun Bo, Agostino Capponi
We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We per…
Default and Systemic Risk in Equilibrium
Agostino Capponi, Martin Larsson
We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market acc…