[Antonov, A., Issakov, S. and Mechkov, S. (2015). Backward induction for future values, Risk.net, Numerix research paper, http://www.risk.net/ derivatives/2387384/backward-inductionfuture- values.]Search in Google Scholar
[BCBS (2006). Basel II: International convergence of capital measurement and capital standards: A revised framework-comprehensive version, Technical Report 128, BCBS Paper, http://www.bis.org/publ/bcbs128.pdf.]Search in Google Scholar
[BCBS (2011). Basel III: A global regulatory framework for more resilient banks and banking systems-revised version, Technical Report 189, BCBS Paper, http://www.bis.org/publ/bcbs189.pdf.]Search in Google Scholar
[Bernis, G. and Scotti, S. (2017). Alternative to beta coefficients in the context of diffusions, Quantitative Finance 17(2): 275-288.10.1080/14697688.2016.1188214]Search in Google Scholar
[Black, F. and Scholes, M. (1973). The pricing of options and corporate liabilities, The Journal of Political Economy 81(3): 637-654.10.1086/260062]Search in Google Scholar
[Bonollo, M., Di Persio, L., Oliva, I. and Semmoloni, A. (2015). A quantization approach to the counterparty credit exposure estimation, http://ssrn.com/abstract=2574384.]Search in Google Scholar
[Borodin, A. and Salminen, P. (2002). Handbook of Brownian Motion: Facts and Formulae, 2nd Edn., Birkh¨auser, Basel.]Search in Google Scholar
[Brigo, D., Morini, M. and Pallavicini, A. (2013). Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes, Wiley, Chichester.10.1002/9781118818589]Search in Google Scholar
[Brydges, D., Van Der Hofstad, R. and Konig, W. (2007). Joint density for the local times of continuous-time Markov chains, The Annals of Probability 35(4): 1307-1332.10.1214/009171906000001024]Search in Google Scholar
[Callegaro, G., Fiorin, L. and Grasselli, M. (2015). Quantized calibration in local volatility, Risk.net (Cutting Edge: Derivatives Pricing) (2015): 56-67.]Search in Google Scholar
[Callegaro, G., Fiorin, L. and Grasselli, M. (2017). Pricing via quantization in stochastic volatility models, Quantitative Finance, DOI: 10.1080/14697688.2016.1255348, (in print).10.1080/14697688.2016.1255348]Search in Google Scholar
[Callegaro, G. and Sagna, A. (2013). An application to credit risk of a hybrid Monte Carlo optimal quantization method, Journal of Computational Finance 16(4): 123-156.10.21314/JCF.2013.270]Search in Google Scholar
[Castagna, A. (2013). Fast computing in the CCR and CVA measurement, Technical report, IASONWorking paper.]Search in Google Scholar
[Chevalier, E., Ly Vath, V. and Scotti, S. (2013). An optimal dividend and investment control problem under debt constraints, Journal on Financial Mathematics 4(1): 297-326.10.1137/120866816]Search in Google Scholar
[Cordoni, F. and Di Persio, L. (2014). Backward stochastic differential equations approach to hedging, option pricing and insurance problems, International Journal of Stochastic Analysis 2014, Article ID: 152389, DOI: 10.1155/2014/152389.10.1155/2014/152389]Search in Google Scholar
[Cordoni, F. and Di Persio, L. (2016). A BSDE with delayed generator approach to pricing under counterparty risk and collateralization, International Journal of Stochastic Analysis 2016, Article ID: 1059303, DOI: 10.1155/2016/1059303.10.1155/2016/1059303]Search in Google Scholar
[Di Persio, L., Pellegrini, G. and Bonollo, M. (2015). Polynomial chaos expansion approach to interest rate models, Journal of Probability and Statistics 2015, Article ID: 369053, DOI: 10.1155/2015/369053.10.1155/2015/369053]Search in Google Scholar
[Di Persio, L. and Perin, I. (2015). An ambit stochastic approach to pricing electricity forward contracts: The case of the German energy market, Journal of Probability and Statistics 2015, Article ID: 626020, DOI: 10.1155/2015/626020.10.1155/2015/626020]Search in Google Scholar
[Doney, R. and Yor, M. (1998). On a formula of Takacs for Brownian motion with drift, Journal of Applied Probability 35(2): 272-280.10.1239/jap/1032192846]Search in Google Scholar
[Glasserman, P. (2012). Risk horizon and rebalancing horizon in portfolio risk measurement, Mathematical Finance 22(2): 215-249.10.1111/j.1467-9965.2010.00465.x]Search in Google Scholar
[Haug, E. (1983). The Complete Guide to Option Pricing Formulas, McGraw-Hill, New York, NY.]Search in Google Scholar
[Heston, S. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options, The Review of Financial Studies 6(2): 327-343.10.1093/rfs/6.2.327]Search in Google Scholar
[Hull, J. (1999). Options, Futures, and Other Derivatives, Pearson Education, Englewood Cliffs, NJ.]Search in Google Scholar
[Hull, J. and White, A. (1990). Pricing interest-rate derivative securities, The Review of Financial Studies 3(4): 573-592.10.1093/rfs/3.4.573]Search in Google Scholar
[Karatzas, I. and Shreve, S. (1991). Brownian Motion and Stochastic Calculus, Springer-Verlag, New York, NY.]Search in Google Scholar
[Lam, K., Yu, P. and Xin, L. (2009). Accumulator pricing, 2009 Symposium on Computational Intelligence for Financial Engineering, Nashville, TN, USA.]Search in Google Scholar
[Lelong, J. (2016). Pricing American options using martingale bases, https://hal.archives-ouvertes.fr/hal-01299819 .]Search in Google Scholar
[Lévy, P. (1939). Sur certains processus stochastiques homog`enes, Compositio Mathematica 7: 283-339.]Search in Google Scholar
[Lévy, P. (1965). Processus stochastiques et mouvement brownien, Gauthier-Villars, Paris.]Search in Google Scholar
[Liu, Q. (2015). Calculation of credit valuation adjustment based on least square Monte Carlo methods, Mathematical Problems in Engineering 2015, Article ID: 959312, DOI: 10.1155/2015/959312.10.1155/2015/959312]Search in Google Scholar
[Mijatovic, A. (2010). Local time and the pricing oftime-dependent barrier options, Finance and Stochastics 14(13): 13-48.10.1007/s00780-008-0077-5]Search in Google Scholar
[Moody’s (2009). Moody’s global corporate finance recovery rates, Technical report, Moody’s Investors Service.]Search in Google Scholar
[Pagés, G. and Wilbertz, B. (2011). GPGPUs in computational finance: Massive-parallel computing for American style options, Technical report, Laboratoire de Probabilit´e, Paris VI-VII.10.1002/cpe.1774]Search in Google Scholar
[Saita, F. (2007). Value at Risk and Bank Capital Management, Elsevier, Cambridge, MA.10.1016/B978-012369466-9.50003-2]Search in Google Scholar
[Sinkala, W. and Nkalashe, T. (2015). Lie symmetry analysis of a first-order feedback model of option pricing, Advances in Mathematical Physics 2015, Article ID: 361785, DOI: 10.1155/2015/361785.10.1155/2015/361785]Search in Google Scholar
[Takacs, L. (1995). On the local time of the Brownian motion, The Annals of Applied Probability 5(3): 741-756.10.1214/aoap/1177004703]Search in Google Scholar
[Vasicek, O. (1977). An equilibrium characterization of the term structure, Journal of Financial Economics 5(2): 177-188.10.1016/0304-405X(77)90016-2]Search in Google Scholar