Counterparty Risk Valuation: A Marked Branching Diffusion Approach

Keywords

Valuation (finance), Actuarial science, Branching (polymer chemistry), Credit risk, Business

References

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• A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEsArash Fahim, Nizar Touzi, Xavier Warin — 2009
• A semilinear Black and Scholes partial differential equation for valuing American optionsFred Espen Benth, Kenneth H. Karlsen, Kristin Reikvam — 2003
• Stochastic cascades and 3-dimensional Navier–Stokes equationsY. Le Jan, A. S. Sznitman — 1997
• Adapted solution of a backward stochastic differential equationÉtienne Pardoux, Shigē Péng — 1990
• Monte Carlo valuation of American optionsL. C. G. Rogers — 2002
• Valuing American Options by Simulation: A Simple Least-Squares ApproachFrancis A. Longstaff, Eduardo S. Schwartz — 2001
• Counterparty Risk and Contingent CDS under correlationDamiano Brigo, Andrea Pallavicini — 2008
• Length of Galton–Watson trees and blow-up of semilinear systemsJosé Alfredo López-Mimbela, Anton Wakolbinger — 1998
• Primal-Dual Simulation Algorithm for Pricing Multidimensional American OptionsLeif B. G. Andersen, Mark Broadie — 2004
• Probabilistic numerical methods for partial differential equations: Elements of analysisD. Talay — 1996

Cited by

• CVA calculation, an extended marked branching diffusion approachLaurens Jan Borsje, J. Anderluh, F. Redig — 2014
• Exact Simulation of Multi-Dimensional Stochastic Differential EquationsPierre Henry‐Labordère, Xiaolu Tan, Nizar Touzi — 2015
• Feynman Kac for Functional Jump Diffusions with an Application to Credit Value AdjustmentEduard Kromer, Ludger Overbeck, Jasmin Röder — 2015
• Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDEIdris Kharroubi, Huyên Pham — 2012
• Monte Carlo methods for linear and non-linear Poisson-Boltzmann equationMireille Bossy, Nicolas Champagnat, Hélène Leman — 2014
• Probabilistic representation of a class of non conservative nonlinear Partial Differential EquationsAnthony Lecavil, Nadia Oudjane, Francesco Russo — 2015
• Counterparty Risk and Funding: The Four Wings of the TVAStéphane Crépey, Rémi Gerboud, Zorana Grbac — 2012
• BSDE Representation and Discretization for Hamilton-Jacobi-Bellman PDEIdris Kharroubi — 2014
• An Asymptotic Expansion Approach to Derivatives PricingMasaaki Fujii, Shoma Sato, Kenichiro Shiraya — 2012
• Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equationsAnthony Le Cavil, Nadia Oudjane, Francesco Russo — 2016
• Unbiased simulation of stochastic differential equationsPierre Henry‐Labordère, Xiaolu Tan, Nizar Touzi — 2015
• Path-Dependent BSDEs with Jumps and Their Connection to PPIDEsEduard Kromer, Ludger Overbeck, Jasmin Röder — 2017
• Unbiased Monte Carlo estimate of stochastic differential equations expectationsMahamadou Doumbia, Nadia Oudjane, Xavier Warin — 2016
• Forward Feynman-Kac type representation for semilinear non-conservative partial differential equationsAnthony Le Cavil, Nadia Oudjane, Francesco Russo — 2016
• On full history recursive multilevel Picard approximations and numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equationsE Weinan, Martin Hutzenthaler, Arnulf Jentzen — 2016
• Hybrid PDE solver for data-driven problems and modern branching†Francisco Bernal, Gonçalo dos Reis, Greig Smith — 2017
• LSM Reloaded - Differentiate xVA on your iPad MiniBrian Norsk Huge, Antoine Savine — 2017
• Deep Learning-Based Numerical Methods for High-Dimensional Parabolic Partial Differential Equations and Backward Stochastic Differential EquationsE Weinan, Jiequn Han, Arnulf Jentzen — 2017
• Overcoming the curse of dimensionality: Solving high-dimensional partial differential equations using deep learningJiequn Han, Arnulf Jentzen, E Weinan — 2017
• On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential EquationsE Weinan, Martin Hutzenthaler, Arnulf Jentzen — 2017

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