Christina C. Christara
Christina Christara is a Professor of Computer Science at the University of Toronto. She obtained her BSc at Aristotle University of Thessaloniki, Greece, and her MSc and PhD at Purdue University, West Lafayette, Indiana, USA. Her research interests are in numerical analysis and scientific computing, more specifically, in the numerical solution of partial differential equations, the associated high performance issues, and the related applications such as those in computational finance. She is currently Editor-in-Chief for Mathematics and Computers in Simulation, Associate Editor for Applied Mathematics and Computation, and has been Associate Editor for Numerical Algorithms. She is also serving as member of the Board of the Canadian Applied and Industrial Mathematics Society (CAIMS).
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Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Under some assumptions, the valuation of financial derivatives, including a value adjustment to account for default risk (the so-called XVA), gives rise to a nonlinear partial differential equation (PDE). The authors propose numerical methods for…