RePEcOther
Mathematical Models for KVA
The study presents mathematical models to compute the capital valuation adjustment using market theory and suggests numerical methods for solving the related partial differential equations.
Featured in No. 80 on 1 Jan 2025 · on release day
- Released
- 1 Jan 2025
- First featured
- No. 80 · 1 Jan 2025
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- Identifier
- RePEc:eee:apmaco:v:488:y:2025:i:c:s0096300324005666
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).