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q-fin.PR2020
Approximate XVA for European claims
Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
We consider the problem of computing the Value Adjustment of European contingent claims when default of either party is considered, possibly including also funding and collateraliz…
q-fin.PR2015
Random Time Forward Starting Options
Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determin…