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CVA Computing by PDE Models

  • Iñigo ArreguiEmail author
  • Beatriz Salvador
  • Carlos Vázquez
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 10187)

Abstract

In order to incorporate the credit value adjustment (CVA) in derivative contracts, we propose a set of numerical methods to solve a nonlinear partial differential equation [2] modelling the CVA. Additionally to adequate boundary conditions proposals, characteristics methods, fixed point techniques and finite elements methods are designed and implemented. A numerical test illustrates the behavior of the model and methods.

Keywords

CVA Modelling Numerical methods 

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Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  • Iñigo Arregui
    • 1
    Email author
  • Beatriz Salvador
    • 1
  • Carlos Vázquez
    • 1
  1. 1.Department of MathematicsUniversity of A CoruñaA CoruñaSpain

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