19 citations · 32 across the 21 of their papers we have counts for
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q-fin.PR2016★ 2 cited
XVA at the Exercise Boundary
Andrew Green, Chris Kenyon
XVA is a material component of a trade valuation and hence it must impact the decision to exercise options within a given netting set. This is true for both unsecured trades and se…
q-fin.PR2016
Option-Based Pricing of Wrong Way Risk for CVA
Chris Kenyon, Andrew Green
The two main issues for managing wrong way risk (WWR) for the credit valuation adjustment (CVA, i.e. WW-CVA) are calibration and hedging. Hence we start from a novel model-free wor…