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[1]
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Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation
Applied Numerical Mathematics,
2023
DOI:10.1016/j.apnum.2022.11.014
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[2]
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Model Independent WWR for Regulatory CVA and for Accounting CVA and FVA
SSRN Electronic Journal ,
2020
DOI:10.2139/ssrn.3547866
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[3]
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Computing credit valuation adjustment solving coupled PIDEs in the Bates model
Computational Management Science,
2020
DOI:10.1007/s10287-020-00365-6
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[4]
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On using convolutions with exponential distributions for solving a Kolmogorov backward equation
Journal of Physics: Conference Series,
2019
DOI:10.1088/1742-6596/1203/1/012101
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[5]
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CVA for Cliquet options under Heston model
The North American Journal of Economics and Finance,
2019
DOI:10.1016/j.najef.2019.02.008
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[6]
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A Numercal Realization of the Wiener-Hopf Method For the Backward Kolmogorov Equation
SSRN Electronic Journal ,
2018
DOI:10.2139/ssrn.3285443
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[7]
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Finance & Economics Readings
2018
DOI:10.1007/978-981-10-8147-7_7
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[8]
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On a numerical method for solving integro-differential equations with variable coefficients with applications in finance
Journal of Physics: Conference Series,
2018
DOI:10.1088/1742-6596/973/1/012054
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