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   RePEc:kap:revdev:v:28:y:2025:i:1:d:10.1007_s11147-024-09207-y.

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2. Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis. (2025). Andersson, Kristoffer ; Gnoatto, Alessandro.
   In: Papers.
   RePEc:arx:papers:2502.14766.

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3. When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization. (2025). Oberpriller, Katharina ; Gnoatto, Alessandro ; Biagini, Francesca.
   In: Papers.
   RePEc:arx:papers:2502.12774.

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4. Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask. (2025). Bianchetti, Marco ; Scaringi, Marco ; Silotto, Lorenzo.
   In: Papers.
   RePEc:arx:papers:2107.10377.

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5. XVA modelling: validation, performance and model risk management. (2024). Bianchetti, Marco ; Scaringi, Marco ; Silotto, Lorenzo.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05323-4.

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6. Pricing vulnerable spread options with liquidity risk under Lévy processes. (2024). Wang, Xingchun ; Cai, Chengyou ; Yu, Baimin.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000494.

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7. On Deep Learning for computing the Dynamic Initial Margin and Margin Value Adjustment. (2024). Villarino, Joel P ; 'Alvaro Leitao, .
   In: Papers.
   RePEc:arx:papers:2407.16435.

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8. Filtration enlargement‐based time series forecast in view of insider trading. (2023). Hu, Wei ; Bennett, Luke M.
   In: Journal of Economic Surveys.
   RePEc:bla:jecsur:v:37:y:2023:i:1:p:112-140.

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9. Credit Valuation Adjustment in Financial Networks. (2023). Zlati, Vinko ; Battiston, Stefano ; Barjavsi, Irena.
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   RePEc:arx:papers:2305.16434.

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10. Pricing vulnerable options under correlated skew Brownian motions. (2022). Wang, Xingchun ; Guo, Che.
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    RePEc:wly:jfutmk:v:42:y:2022:i:5:p:852-867.

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11. Valuing fade-in options with default risk in Heston–Nandi GARCH models. (2022). Wang, Xingchun.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:25:y:2022:i:1:d:10.1007_s11147-021-09179-3.

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12. Nonlinear Valuation with XVAs: Two Converging Approaches. (2022). Pallavicini, Andrea ; Brigo, Damiano ; Rutkowski, Marek ; Francischello, Marco ; Buescu, Cristin.
    In: Mathematics.
    RePEc:gam:jmathe:v:10:y:2022:i:5:p:791-:d:762470.

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13. The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing. (2022). Kimura, Herbert ; Arismendi Zambrano, Juan ; Belitsky, Vladimir ; Sobreiro, Vinicius Amorim ; Arismendi-Zambrano, Juan.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001261.

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14. Exchange options for catastrophe risk management. (2022). Wang, Xingchun ; Shao, Xinjian.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001832.

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15. Affine term structure models: A time‐change approach with perfect fit to market curves. (2022). Vrins, Frédéric ; Mbaye, Cheikh.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:32:y:2022:i:2:p:678-724.

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16. Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk. (2022). Jos'e A. Garc'ia-Rodr'iguez, ; Villarino, Joel P ; 'Alvaro Leitao, .
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    RePEc:arx:papers:2210.02175.

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17. Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method. (2022). Trinh, Yen Thuan ; Hanzon, Bernard.
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    RePEc:arx:papers:2202.00785.

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18. Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms. (2022). Wei, Wei ; Tan, Ken Seng ; Sun, Chaofan.
    In: Papers.
    RePEc:arx:papers:2201.09105.

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19. Deep xVA solver -- A neural network based counterparty credit risk management framework. (2022). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena.
    In: Papers.
    RePEc:arx:papers:2005.02633.

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20. First-to-default and second-to-default options in models with various information flows. (2021). Gapeev, Pavel V ; Jeanblanc, Monique.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:110750.

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21. The impact of central clearing on the market for single-name credit default swaps. (2021). Dionne, Georges ; Ben-Abdallah, Ramzi ; Akari, Mohamed-Ali ; Breton, Michele.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:56:y:2021:i:c:s106294082030231x.

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22. Binary funding impacts in derivative valuation. (2021). Lee, Junbeom ; Zhou, Chao.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:31:y:2021:i:1:p:242-278.

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23. Mild to classical solutions for XVA equations under stochastic volatility. (2021). Brigo, Damiano ; Graceffa, Federico ; Kalinin, Alexander.
    In: Papers.
    RePEc:arx:papers:2112.11808.

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24. CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS. (2020). Gapeev, Pavel V ; Jeanblanc, Monique.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500107.

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25. Analytical valuation of Asian options with counterparty risk under stochastic volatility models. (2020). Wang, Xingchun.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:40:y:2020:i:3:p:410-429.

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26. Deep xVA solver - A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena.
    In: Working Papers.
    RePEc:ver:wpaper:07/2020.

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27. Linear credit risk models. (2020). Filipovi, Damir ; Ackerer, Damien.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00409-z.

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28. The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing. (2020). Kimura, Herbert ; Arismendi Zambrano, Juan ; Belitsky, Vladimir ; Sobreiro, Vinicius Amorim ; Arismendi-Zambrano, J C.
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    RePEc:may:mayecw:n306-20.pdf.

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29. Robust XVA. (2020). Sturm, Stephan ; Bichuch, Maxim ; Capponi, Agostino.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:30:y:2020:i:3:p:738-781.

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30. PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE. (2019). Mai, Jan-Frederik.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:22:y:2019:i:06:n:s0219024919500328.

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31. MULTI-CURRENCY CREDIT DEFAULT SWAPS. (2019). Brigo, Damiano ; Pede, Nicola ; Petrelli, Andrea.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:22:y:2019:i:04:n:s0219024919500183.

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32. Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin. (2019). Oliva, Immacolata ; Gnoatto, Alessandro ; Biagini, Francesca.
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33. The impact of central clearing on the market for single-name credit default swaps. (2019). Dionne, Georges ; Ben-Abdallah, Ramzi ; Akari, Mohamed-Ali ; Breton, Michele.
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34. Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. (2019). Pallavicini, Andrea ; Brigo, Damiano ; Francischello, Marco.
    In: European Journal of Operational Research.
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35. Integrated structural approach to Credit Value Adjustment. (2019). Ballotta, Laura ; Fusai, Gianluca ; Marazzina, Daniele.
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    RePEc:eee:ejores:v:272:y:2019:i:3:p:1143-1157.

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36. Valuation of new-designed contracts for catastrophe risk management. (2019). Wang, Xingchun.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301032.

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37. Affine term-structure models: A time-changed approach with perfect fit to market curves. (2019). Vrins, Frédéric ; Mbaye, Cheikh.
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38. The study of dynamics for credit default risk by backward stochastic differential equation method. (2018). Yan, Wenchao ; Tian, Kun ; Yuan, George Xianzhi ; Xiong, Dewen.
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39. An enlargement of filtration formula with applications to multiple non-ordered default times. (2018). Song, Shiqi ; Jeanblanc, Monique ; Li, Libo.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0349-z.

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40. Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives. (2018). Nguyen, Tuyet ; Crepey, Stephane.
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41. Stochastic distortion and its transformed copula. (2018). Peng, Liang ; Yang, Jingping ; Xie, Jiehua ; Lin, Feng.
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    RePEc:eee:insuma:v:79:y:2018:i:c:p:148-166.

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42. Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. (2018). Vrins, Frédéric ; Brigo, Damiano.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:269:y:2018:i:3:p:1154-1164.

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43. Pricing and hedging vulnerable option with funding costs and collateral. (2018). Han, Xingyu.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:112:y:2018:i:c:p:103-115.

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44. Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives. (2018). Luo, Zhongmin ; Brummelhuis, Raymond.
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45. Risk-neutral valuation under differential funding costs, defaults and collateralization. (2018). Pallavicini, Andrea ; Brigo, Damiano ; Rutkowski, Marek ; Francischello, Marco ; Buescu, Cristin.
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    RePEc:arx:papers:1802.10228.

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46. Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps. (2018). Brigo, Damiano ; Pede, Nicola ; Petrelli, Andrea.
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    RePEc:arx:papers:1512.07256.

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47. COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK. (2017). Oosterlee, Cornelis ; Feng, Qian.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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48. WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS. (2017). Vrins, Frédéric.
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49. INVARIANCE TIMES *. (2017). Crepey, Stephane ; Song, Shiqi.
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50. Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula. (2017). Louhichi, Wael ; Harb, Etienne.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pb:p:963-975.

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51. Pricing vulnerable options with stochastic volatility. (2017). Wang, Xingchun ; Zhou, KE.
    In: Physica A: Statistical Mechanics and its Applications.
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52. Risk-Minimizing Hedging of Counterparty Risk. (2017). Bo, Lijun ; Ceci, Claudia ; Capponi, Agostino.
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53. Invariance times. (2017). Cr, St'Ephane ; Song, Shiqi.
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54. EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS. (2016). Schulz, Thorsten ; Scherer, Matthias.
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55. Pricing derivatives with counterparty risk and collateralization: A fixed point approach. (2016). Leung, Tim ; Kim, Jinbeom.
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56. The Cost of Counterparty Risk and Collateralization in Longevity Swaps. (2016). Blake, David ; Pitotti, Lorenzo ; Biffis, Enrico ; Sun, Ariel .
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57. The Pricing of Catastrophe Equity Put Options with Default Risk. (2016). Wang, Xingchun.
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    RePEc:bla:irvfin:v:16:y:2016:i:2:p:181-201.

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58. Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment. (2016). Vrins, Frédéric ; Brigo, Damiano.
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59. Arbitrage-Free XVA. (2016). Sturm, Stephan ; Bichuch, Maxim ; Capponi, Agostino.
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60. Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples. (2016). Sturm, Stephan ; Bichuch, Maxim ; Capponi, Agostino.
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61. Bounding Wrong-Way Risk in Measuring Counterparty Risk. (2015). Glasserman, Paul ; Yang, Linan.
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62. Counterparty risk for CDS: Default clustering effects. (2015). Bo, Lijun ; Capponi, Agostino.
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63. Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach. (2015). Leung, Tim ; Kim, Jinbeom.
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64. Central clearing of OTC derivatives: Bilateral vs multilateral netting. (2014). Thomas, Kokholm ; Rama, Cont .
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65. Valuation and Hedging of Contracts with Funding Costs and Collateralization. (2014). Bielecki, Tomasz R. ; Rutkowski, Marek.
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2. Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon. (2024). Choulli, T ; Alsheyab, S.
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3. Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon. (2024). Choulli, Tahir ; Lepinette, Emmanuel.
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4. Mean Field Game of Optimal Relative Investment with Jump Risk. (2023). Yu, Xiang ; Wang, Shihua ; Bo, Lijun.
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12. Robust Optimization of Credit Portfolios. (2017). Bo, Lijun ; Capponi, Agostino.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:42:y:2017:i:1:p:30-56.

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13. General dynamic term structures under default risk. (2017). Schmidt, Thorsten ; Fontana, Claudio.
    In: Papers.
    RePEc:arx:papers:1603.03198.

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14. Arbitrage-Free XVA. (2016). Sturm, Stephan ; Bichuch, Maxim ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1608.02690.

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15. Robust Optimization of Credit Portfolios. (2016). Bo, Lijun ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1603.08169.

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16. Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples. (2016). Sturm, Stephan ; Bichuch, Maxim ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1501.05893.

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17. Dynamic credit investment in partially observed markets. (2015). Pascucci, Andrea ; Figueroa-Lopez, Jose ; Capponi, Agostino.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:19:y:2015:i:4:p:891-939.

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18. A generalized intensity based framework for single-name credit risk. (2015). Schmidt, Thorsten ; Gehmlich, Frank.
    In: Papers.
    RePEc:arx:papers:1512.03896.

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19. Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm. (2015). Schmidt, Thorsten ; Gehmlich, Frank.
    In: Papers.
    RePEc:arx:papers:1411.4851.

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20. Pricing vulnerable claims in a Lévy-driven model. (2014). Vargiolu, Tiziano ; Pagliarani, Stefano ; Capponi, Agostino.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:18:y:2014:i:4:p:755-789.

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21. Bilateral credit valuation adjustment for large credit derivatives portfolios. (2014). Bo, Lijun ; Capponi, Agostino.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:18:y:2014:i:2:p:431-482.

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22. ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS. (2014). Pallavicini, Andrea ; Brigo, Damiano ; Capponi, Agostino.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:24:y:2014:i:1:p:125-146.

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23. Dynamic Credit Investment in Partially Observed Markets. (2014). Pascucci, Andrea ; Jose Enrique Figueroa Lopez, ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1303.2950.

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24. Optimal Investment and Consumption with Default Risk: HARA Utility. (2013). YANG, Xuewei ; Bo, Lijun ; Wang, Yongjin ; Li, Xindan.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:20:y:2013:i:3:p:261-281.

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25. Pricing and static hedging of American-style options under the jump to default extended CEV model. (2013). Vidal Nunes, João Pedro, ; Dias, Jose Carlos ; Ruas, Joo Pedro.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4059-4072.

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26. Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios. (2013). Bo, Lijun ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1305.5575.

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27. Subprime mortgage default. (2011). keenan, donald ; Kau, James ; Lyubimov, Constantine ; Slawson, Carlos V..
    In: Journal of Urban Economics.
    RePEc:eee:juecon:v:70:y:2011:i:2-3:p:75-87.

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28. Credit Risk Models with Incomplete Information. (2009). Jarrow, Robert ; Zeng, Yan ; Guo, Xin.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:34:y:2009:i:2:p:320-332.

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