A non-linear PDE for XVA by forward Monte Carlo


In this article, a solution to a semi-linear PDE is obtained by taking the minimum of solutions to related linear PDEs over an infinite-dimensional space of discount boundaries. By restricting the minimum to a parameterised subset of boundaries, a practical algorithm for numerically solving the semi-linear PDE in a forward Monte Carlo is obtained. We also show how to modify the standard CVA algorithms to account for the risky closeout in the section on comparison to riskless closeout DVA

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here