Anastasia Borovykh
Group Member:



Publications:

[1] Borovykh A., Oosterlee C.W., Pascucci A.,
Efficient XVA computation under local Levy models
To appear in SIAM Journal on Financial Mathematics, 2018

[2] Borovykh A., Pascucci A., La Rovere S.,
A mean-field model of interbank lending with self-exciting shocks
Preprint, 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


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