Yuwei Chen is currently a PhD candidate with the Department of Computer Science at the University of Toronto, Toronto, Canada. His supervisor is Professor Christina C. Christara. He holds an MSc in Computer Science with specialization in Computational Finance from the University of Toronto, and a BSc in Mathematics from the same school. His main research interests are numerical analysis, scientific computing and computational finance. His PhD thesis focuses on formulation and analysis of efficient numerical methods for credit valuation adjustment (CVA or XVA).
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…