Derivative Nonlinear Schrödinger Equations (DNLS) extend the classical nonlinear Schrödinger framework by incorporating derivative-dependent nonlinearities. This modification enriches the model's ...
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 ...
A partial differential equation (PDE) is a mathematical equation that involves multiple independent variables, an unknown function that is dependent on those variables, and partial derivatives of the ...
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