The latest tools and techniques for pricing and risk management This book introduces
readers to the use of copula functions to represent the dynamics of financial assets and risk …

Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty
Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial …

This article reviews a selection of methods and results for various applications of the theory
of continuous time Markov chains to valuation of credit derivatives. Section 2 begins with a …

This is a book on financial modeling that emphasizes computational aspects. It gives a
unified perspective on derivative pricing and hedging across asset classes and is addressed …

In this paper we contribute to the theory of conditional Markov chains (CMCs) that take
finitely many values and that admit intensity. We provide a method for constructing a CMC …

We review and extend the now considerable literature on Lévy copulas. First, we focus on
Monte Carlo methods and present a new robust algorithm for the simulation of …

In this paper we study the counterparty risk on a payer CDS in a Markov chain model of two
reference credits, the firm underlying the CDS and the protection seller in the CDS. We first …

In this article we study a decoupled forward backward stochastic differential equation
(FBSDE) and the associated system of partial integro-differential obstacle problems, in a …

The paper presents selected results from the theory of Markov copulae and some of their
applications in finance.∗ This research was partially supported by NSF Grant DMS-0604789 …

The family of exchangeable Marshall-Olkin distributions is investigated. From an analytical
perspective, coherences with completely monotone sequences are revealed. From the …