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q-fin.MF2021
Valuation of electricity storage contracts using the COS method
Boris C. Boonstra, Cornelis W. Oosterlee
Storage of electricity has become increasingly important, due to the gradual replacement of fossil fuels by more variable and uncertain renewable energy sources. In this paper, we…
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…