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International Conference on Numerical Analysis and Its Applications

NAA 2016: Numerical Analysis and Its Applications pp 15–24Cite as

CVA Computing by PDE Models

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Part of the book series: Lecture Notes in Computer Science ((LNTCS,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.

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References

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Author information

Authors and Affiliations

  1. Department of Mathematics, University of A Coruña, A Coruña, Spain

    Iñigo Arregui, Beatriz Salvador & Carlos Vázquez

Authors
  1. Iñigo Arregui
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  2. Beatriz Salvador
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  3. Carlos Vázquez
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Corresponding author

Correspondence to Iñigo Arregui .

Editor information

Editors and Affiliations

  1. Institute of Information and Communication Technologies, Bulgarian Academy of Sciences, Sofia, Bulgaria

    Ivan Dimov

  2. Department of Applied Analysis, Eötvös Loránd University, Budapest, Hungary

    István Faragó

  3. Department of Applied Mathematics and Statistics, University of Rousse, Ruse, Bulgaria

    Lubin Vulkov

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Arregui, I., Salvador, B., Vázquez, C. (2017). CVA Computing by PDE Models. In: Dimov, I., Faragó, I., Vulkov, L. (eds) Numerical Analysis and Its Applications. NAA 2016. Lecture Notes in Computer Science(), vol 10187. Springer, Cham. https://doi.org/10.1007/978-3-319-57099-0_2

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  • DOI: https://doi.org/10.1007/978-3-319-57099-0_2

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-57098-3

  • Online ISBN: 978-3-319-57099-0

  • eBook Packages: Computer ScienceComputer Science (R0)

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