{"id":"https://openalex.org/W3033187197","doi":"https://doi.org/10.1007/s10287-020-00365-6","title":"Computing credit valuation adjustment solving coupled PIDEs in the Bates
\\nmodel","display_name":"Computing credit valuation adjustment solving coupled PIDEs in the Bates
\\nmodel","publication_year":2020,"publication_date":"2020-01-01","ids":{"openalex":"https://openalex.org/W3033187197","doi":"https://doi.org/10.1007/s10287-020-00365-6","mag":"3033187197"},"language":"en","primary_location":{"id":"pmh:oai:air.uniud.it:11390/1184684","is_oa":false,"landing_page_url":"http://hdl.handle.net/11390/1184684","pdf_url":null,"source":{"id":"https://openalex.org/S4306401163","display_name":"Institutional Research Information System (University of Udine)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I129043915","host_organization_name":"University of Udine","host_organization_lineage":["https://openalex.org/I129043915"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"},"type":"article","indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5057898803","display_name":"Ludovic Gouden\u00e8ge","orcid":"https://orcid.org/0000-0002-6449-5888"},"institutions":[{"id":"https://openalex.org/I4210107720","display_name":"CentraleSup\u00e9lec","ror":"https://ror.org/019tcpt25","country_code":"FR","type":"facility","lineage":["https://openalex.org/I277688954","https://openalex.org/I4210107720"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Ludovic Goudenege","raw_affiliation_strings":["F\u00e9d\u00e9ration de Math\u00e9matiques de CentraleSup\u00e9lec (Plateau de Moulon 3 rue Joliot Curie 91192 GIF SUR YVETTE CEDEX - France)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"F\u00e9d\u00e9ration de Math\u00e9matiques de CentraleSup\u00e9lec (Plateau de Moulon 3 rue Joliot Curie 91192 GIF SUR YVETTE CEDEX - France)","institution_ids":["https://openalex.org/I4210107720"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5013935166","display_name":"Andrea Molent","orcid":null},"institutions":[{"id":"https://openalex.org/I129043915","display_name":"University of Udine","ror":"https://ror.org/05ht0mh31","country_code":"IT","type":"education","lineage":["https://openalex.org/I129043915"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Andrea Molent","raw_affiliation_strings":["Universit\u00e0 degli Studi di Udine - University of Udine [Italie] (via Palladio 8, 33100 Udine - Italy)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Universit\u00e0 degli Studi di Udine - University of Udine [Italie] (via Palladio 8, 33100 Udine - Italy)","institution_ids":["https://openalex.org/I129043915"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5043863727","display_name":"Antonino Zanette","orcid":"https://orcid.org/0000-0001-5958-9014"},"institutions":[{"id":"https://openalex.org/I129043915","display_name":"University of Udine","ror":"https://ror.org/05ht0mh31","country_code":"IT","type":"education","lineage":["https://openalex.org/I129043915"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Antonino Zanette","raw_affiliation_strings":["MATHRISK - Mathematical Risk Handling (France)","Universit\u00e0 degli Studi di Udine - University of Udine [Italie] (via Palladio 8, 33100 Udine - Italy)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"MATHRISK - Mathematical Risk Handling (France)","institution_ids":[]},{"raw_affiliation_string":"Universit\u00e0 degli Studi di Udine - University of Udine [Italie] (via Palladio 8, 33100 Udine - Italy)","institution_ids":["https://openalex.org/I129043915"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5057898803"],"corresponding_institution_ids":["https://openalex.org/I4210107720"],"apc_list":null,"apc_paid":null,"fwci":1.1937,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.81305695,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9930999875068665,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9891999959945679,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/bates","display_name":"BATES","score":0.8729794025421143},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6275529861450195},{"id":"https://openalex.org/keywords/valuation","display_name":"Valuation (finance)","score":0.5851442217826843},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.5503373742103577},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5114299654960632},{"id":"https://openalex.org/keywords/credit-valuation-adjustment","display_name":"Credit valuation adjustment","score":0.4515978693962097},{"id":"https://openalex.org/keywords/finite-difference","display_name":"Finite difference","score":0.4332853853702545},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4276142716407776},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.3596886992454529},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.35740476846694946},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.35738593339920044},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.354129821062088},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.3346985876560211},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.33320122957229614},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.25834500789642334},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.11084777116775513}],"concepts":[{"id":"https://openalex.org/C2781303124","wikidata":"https://www.wikidata.org/wiki/Q4834681","display_name":"BATES","level":2,"score":0.8729794025421143},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6275529861450195},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.5851442217826843},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.5503373742103577},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5114299654960632},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.4515978693962097},{"id":"https://openalex.org/C181330731","wikidata":"https://www.wikidata.org/wiki/Q2068418","display_name":"Finite difference","level":2,"score":0.4332853853702545},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4276142716407776},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.3596886992454529},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.35740476846694946},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.35738593339920044},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.354129821062088},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3346985876560211},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.33320122957229614},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.25834500789642334},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.11084777116775513},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C146978453","wikidata":"https://www.wikidata.org/wiki/Q3798668","display_name":"Aerospace engineering","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"pmh:oai:air.uniud.it:11390/1184684","is_oa":false,"landing_page_url":"http://hdl.handle.net/11390/1184684","pdf_url":null,"source":{"id":"https://openalex.org/S4306401163","display_name":"Institutional Research Information System (University of Udine)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I129043915","host_organization_name":"University of Udine","host_organization_lineage":["https://openalex.org/I129043915"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W240907682","https://openalex.org/W1480459000","https://openalex.org/W1482679775","https://openalex.org/W1484657710","https://openalex.org/W1571438983","https://openalex.org/W1577789187","https://openalex.org/W1815463019","https://openalex.org/W1971954987","https://openalex.org/W1974858128","https://openalex.org/W2064978316","https://openalex.org/W2065316639","https://openalex.org/W2107573399","https://openalex.org/W2151065060","https://openalex.org/W2286171594","https://openalex.org/W2299613315","https://openalex.org/W2428616327","https://openalex.org/W2471367411","https://openalex.org/W2478838416","https://openalex.org/W2739568389","https://openalex.org/W2786220904","https://openalex.org/W2786676876","https://openalex.org/W2953129309","https://openalex.org/W3003239501","https://openalex.org/W3021444882","https://openalex.org/W3105259957","https://openalex.org/W3124441468","https://openalex.org/W3124475197","https://openalex.org/W3124555103","https://openalex.org/W3125577784","https://openalex.org/W3215167997"],"related_works":["https://openalex.org/W3086176581","https://openalex.org/W3122767363","https://openalex.org/W4243831181","https://openalex.org/W2174137427","https://openalex.org/W2019076357","https://openalex.org/W1571844936","https://openalex.org/W1864548409","https://openalex.org/W2301514279","https://openalex.org/W2272380430","https://openalex.org/W2490830374"],"abstract_inverted_index":{"Credit":[0],"Value":[1],"Adjustment":[2],"is":[3,126,170],"the":[4,11,16,34,68,89,96,101,110,115,130,158,162,166,181,184,187],"charge":[5],"applied":[6],"by":[7,53,75,128,136],"financial":[8],"institutions":[9],"to":[10,14],"counter-":[12],"party":[13],"cover":[15],"risk":[17],"of":[18,42,82,100,118,143,151,161,186],"losses":[19],"on":[20,114],"a":[21,31,105],"counterpart":[22],"default":[23],"event.":[24],"In":[25,87],"this":[26],"paper":[27],"we":[28,91],"estimate":[29],"such":[30],"premium":[32],"under":[33],"Bates":[35],"stochastic":[36],"model":[37],"(Bates":[38],"in":[39,94,165],"The":[40],"Review":[41],"Financial":[43],"Studies":[44],"9(1):":[45],"69\u2013107,":[46],"1996),":[47],"which":[48,66,125],"considers":[49],"an":[50,63],"underlying":[51],"affected":[52],"both":[54,191],"stochas-":[55],"tic":[56],"volatility":[57],"and":[58,109,183,193],"random":[59],"jumps.":[60],"We":[61],"propose":[62,92],"efficient":[64,116],"method":[65,90,112,134],"improves":[67],"Finite-Difference":[69],"Monte":[70,97],"Carlo":[71,98],"(FDMC)":[72],"approach":[73,103,169,189],"introduced":[74],"de":[76],"Graaf":[77],"et":[78,138],"al.":[79,139],"(Jour-":[80],"nal":[81],"Computational":[83,152],"Finance":[84,153],"21,":[85],"2017)":[86],"particular,":[88],"consists":[93],"replacing":[95],"step":[99,108],"FDMC":[102,168],"with":[104],"finite":[106],"difference":[107],"whole":[111],"relies":[113],"solution":[117],"two":[119],"coupled":[120],"partial":[121],"integro-":[122],"differential":[123],"equations":[124],"done":[127],"employing":[129],"Hybrid":[131],"Tree-Finite":[132],"Difference":[133],"developed":[135],"Briani":[137],"(arXiv:1603.07225":[140],"2016;IMA":[141],"Journal":[142,150],"Man-":[144],"agement":[145],"Mathematics":[146],"28(4):":[147],"467\u2013500,":[148],"2017;The":[149],"21(3):":[154],"1\u201345,":[155],"2017).":[156],"Moreover,":[157],"direct":[159],"application":[160],"hybrid":[163],"techniques":[164],"original":[167],"also":[171],"considered":[172],"for":[173],"comparison":[174],"purposes.":[175],"Several":[176],"numer-":[177],"ical":[178],"tests":[179],"prove":[180],"effectiveness":[182],"reliability":[185],"proposed":[188],"when":[190],"European":[192],"American":[194],"options":[195],"are":[196],"considered.":[197],"Subject":[198],"classification":[199],"numbers":[200],"as":[201],"needed.":[202]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2}],"updated_date":"2026-04-28T14:05:53.105641","created_date":"2025-10-10T00:00:00"}