XVA in a multi-currency setting with stochastic foreign exchange rates.

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Authors: Roberta Simonella and Carlos Vázquez

Journal title: Mathematics and Computers in Simulation

Journal number: 207

Journal publisher: Elsevier BV

Published year: 2023

Published pages: 59-79

DOI identifier: 10.1016/j.matcom.2022.12.014

ISSN: 0378-4754