"Models and numerical methods for XVA pricing under mean reversion spreads ..."

Iñigo Arregui, Roberta Simonella, Carlos Vázquez (2024)

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DOI: 10.1016/J.CNSNS.2023.107725

access: open

type: Journal Article

metadata version: 2024-05-07

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Iñigo Arregui, Roberta Simonella, Carlos Vázquez:
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework. Commun. Nonlinear Sci. Numer. Simul. 130: 107725 (2024)

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