3 papers
math.NA2026
A Damped SWIFT Method for European Option Pricing: Coefficients Decay, Truncation, and Error Analysis
Davide Trevisani, José Germán López Salas, Chiheb Ben Hammouda +1
We introduce a damped variant of the Shannon Wavelet Inverse Fourier Technique (SWIFT) for pricing European options when the characteristic function of the underlying model is avai…
math.PR2026
Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces
Elena Issoglio, Stefano Pagliarani, Francesco Russo +1
The paper is concerned with a McKean-Vlasov type SDE with drift in anisotropic Besov spaces with negative regularity and with degenerate diffusion matrix under the weak H{ö}rmande…
math.AP2024
Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem
D. Trevisani, J. G. López-Salas, C. Vázquez +1
In this work we rigorously establish mathematical models to obtain the capital valuation adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we us…