2 papers
q-fin.MF2019
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…
q-fin.PR2016
Pricing Bermudan options under local Lévy models with default
Anastasia Borovykh, Cornelis W. Oosterlee, Andrea Pascucci
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Lévy-type martingale. This class of models allows for a local volatility, local…