EconPapers    
Economics at your fingertips  
 

Mild to classical solutions for XVA equations under stochastic volatility

Damiano Brigo, Federico Graceffa and Alexander Kalinin

Papers from arXiv.org

Abstract: We extend the valuation of contingent claims in presence of default, collateral and funding to a random functional setting and characterise pre-default value processes by martingales. Pre-default value semimartingales can also be described by BSDEs with random path-dependent coefficients and martingales as drivers. En route, we generalise previous settings by relaxing conditions on the available market information, allowing for an arbitrary default-free filtration and constructing a broad class of default times. Moreover, under stochastic volatility, we characterise pre-default value processes via mild solutions to parabolic semilinear PDEs and give sufficient conditions for mild solutions to exist uniquely and to be classical.

Date: 2021-12
New Economics Papers: this item is included in nep-ore
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2112.11808 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2112.11808

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators (help@arxiv.org).

 
Page updated 2024-12-28
Handle: RePEc:arx:papers:2112.11808