We derive a partial differential equation (PDE) representation for the value of financial derivatives with bilateral counterparty risk and funding costs. The model is very general in that the funding ...
Learn how to solve the particular solution of differential equations. A differential equation is an equation that relates a function with its derivatives. The solution to a differential equation ...
This addendum corrects an error in the notation of earlier versions of our paper "Partial differential equation representations of derivatives with bilateral ...
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