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Total Value Adjustment of Multi-Asset Derivatives under Multivariate CGMY Processes
Journal article
Wu, Fengyan, Ding, Deng, Yin, Juliang, Lu, Weiguo, Yuan, Gangnan. Total Value Adjustment of Multi-Asset Derivatives under Multivariate CGMY Processes[J]. Fractal and Fractional, 2023, 7(4), 308.
Authors:
Wu, Fengyan
;
Ding, Deng
;
Yin, Juliang
;
Lu, Weiguo
;
Yuan, Gangnan
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TC[WOS]:
4
TC[Scopus]:
4
IF:
3.6
/
3.5
|
Submit date：2023/04/15
Counterparty Credit Risk
Total Value Adjustment
Cgmy Process
Monte Carlo Simulation
Adi Method
2d Fourier Expansion
Domain recurrence and probabilistic analysis of residence time of stochastic systems and domain aiming control
Journal article
Yin,Juliang, Ding,Deng, Khoo,Suiyang. Domain recurrence and probabilistic analysis of residence time of stochastic systems and domain aiming control[J]. International Journal of Robust and Nonlinear Control, 2020, 30(16), 6585-6605.
Authors:
Yin,Juliang
;
Ding,Deng
;
Khoo,Suiyang
Favorite
|
TC[WOS]:
3
TC[Scopus]:
3
IF:
3.2
/
3.5
|
Submit date：2021/03/09
Domain Aiming Control
Recurrence
Regularity
Residence Time
Stochastic Nonlinear Systems
