Mild to Classical Solutions for XVA Equations under Stochastic Volatility.
Damiano BrigoFederico GraceffaAlexander KalininPublished in: SIAM J. Financial Math. (2024)
Keyphrases
- stochastic differential equations
- maximum a posteriori estimation
- polynomial equations
- neural network
- fractional brownian motion
- differential equations
- closed form solutions
- stochastic model
- boundary value problem
- financial markets
- benchmark problems
- solution space
- stochastic optimization
- data sets
- short term
- mathematical model
- stock index futures