The fundamental representation of pricing adjustments
Fuente:
arXiv
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2025
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866912282760445952 |
|---|---|
| author | Burnett, Benedict McCrickerd, Ryan Piau, Benjamin |
| author_facet | Burnett, Benedict McCrickerd, Ryan Piau, Benjamin |
| contents | This article consolidates and extends past work on derivative pricing adjustments, including XVA, by providing an encapsulating representation of the adjustment between any two derivative pricing functions, within an Ito SDE/parabolic PDE framework. We give examples of this representation encapsulating others from the past 20 years, ranging from a well known option pricing adjustment introduced by Gatheral, to the collection of semi-replication XVA originating from Burgard & Kjaer. To highlight extensions, we discuss certain meta-adjustments beyond XVA, designed to help signal and mitigate XVA model risk. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_14997 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | The fundamental representation of pricing adjustments Burnett, Benedict McCrickerd, Ryan Piau, Benjamin Mathematical Finance Pricing of Securities Risk Management 91G20, 91G30, 91G40 This article consolidates and extends past work on derivative pricing adjustments, including XVA, by providing an encapsulating representation of the adjustment between any two derivative pricing functions, within an Ito SDE/parabolic PDE framework. We give examples of this representation encapsulating others from the past 20 years, ranging from a well known option pricing adjustment introduced by Gatheral, to the collection of semi-replication XVA originating from Burgard & Kjaer. To highlight extensions, we discuss certain meta-adjustments beyond XVA, designed to help signal and mitigate XVA model risk. |
| title | The fundamental representation of pricing adjustments |
| topic | Mathematical Finance Pricing of Securities Risk Management 91G20, 91G30, 91G40 |
| url | https://arxiv.org/abs/2503.14997 |