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arXiv research

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1 result for “meta-adjustments”

The fundamental representation of pricing adjustmentsq-fin.MF

This article provides a new representation for pricing adjustments in derivatives.

problem Derivative pricing adjustments and XVA (Expected Value of All Risk) models.

method An Ito SDE/parabolic PDE framework to encapsulate pricing adjustments.

result A new representation that encompasses various past adjustments.

pricing adjustments XVA Ito SDE parabolic PDE meta-adjustments

2025-03-19abs ↗pdf ↗