[1] Borovykh A., Oosterlee C.W., Pascucci A.,
Efficient XVA computation under local Levy models
SIAM J. Financial Math. 9(1), pp.251-273, 2018

[2] Borovykh A., Pascucci A., La Rovere S.,
Systemic risk in a mean-field model of interbank lending with self-exciting shocks
IISE Transactions 50(9), pp. 806-819, 2018

[3] Borovykh A., Oosterlee C.W., Pascucci A.,
Pricing Bermudan options under local Levy models with default
J. Math. Anal. Appl. Volume 450, Issue 2, Pages 929-953, 2017