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A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization

Francesco Cordoni & Luca Di Persio

International Journal of Stochastic Analysis2016https://doi.org/10.1155/2016/1059303article
ABDC B
Weight
0.61

Abstract

We consider a nonlinear pricing problem that takes into account credit risk and funding issues. The aforementioned problem is formulated as a stochastic forward-backward system with delay, both in the forward and in the backward component, whose solution is characterized in terms of viscosity solution to a suitable type of path-dependent PDE .

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https://doi.org/https://doi.org/10.1155/2016/1059303

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@article{francesco2016,
  title        = {{A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization}},
  author       = {Francesco Cordoni & Luca Di Persio},
  journal      = {International Journal of Stochastic Analysis},
  year         = {2016},
  doi          = {https://doi.org/https://doi.org/10.1155/2016/1059303},
}

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A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization

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Evidence weight

0.61

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.82 × 0.4 = 0.33
M · momentum0.38 × 0.15 = 0.06
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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