85 citations · 187 across the 42 of their papers we have counts for
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q-fin.PR2015
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…
q-fin.PR2015★ 4 cited
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…