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

Francesco Cordoni | Zendy; Luca Di Persio | Zendy

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

Author(s) -

Francesco Cordoni,

Luca Di Persio

Publication year - 2016

Publication title -

international journal of stochastic analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.19

H-Index - 28

eISSN - 2090-3340

pISSN - 2090-3332

DOI - 10.1155/2016/1059303

Subject(s) - collateralization , mathematics , generator (circuit theory) , credit risk , type (biology) , path (computing) , component (thermodynamics) , nonlinear system , counterparty , mathematical optimization , actuarial science , computer science , economics , power (physics) , physics , ecology , thermodynamics , quantum mechanics , biology , programming language

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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