"A Unified Approach to xVA with CSA Discounting and Initial Margin."

Francesca Biagini, Alessandro Gnoatto, Immacolata Oliva (2021)

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DOI: 10.1137/20M1332153

access: closed

type: Journal Article

metadata version: 2021-11-03

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Francesca Biagini, Alessandro Gnoatto, Immacolata Oliva:
A Unified Approach to xVA with CSA Discounting and Initial Margin. SIAM J. Financial Math. 12(3): 1013-1053 (2021)

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