Counterparty Risk and Derivatives Pricing

Robust XVA (with M. Bichuch and S. Sturm). Mathematical Finance, Vol. 30, No. 3, 738–781, 2020.

Arbitrage-Free XVA (with M. Bichuch and S. Sturm). Mathematical Finance, Vol. 28, No. 2, 582–620, 2018.

Dynamic Investment and Counterparty Risk (with L. Bo). Applied Mathematics and Optimization, Vol. 77, No. 1, 1–45, 2018.

Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios (with L. Bo). Finance and Stochastics, Vol. 18, No. 2, 431–482, 2014.

Arbitrage-Free Bilateral Counterparty Risk Valuation under Collateralization and Application to Credit Default Swaps (with D. Brigo and A. Pallavicini). Mathematical Finance, Vol. 14, No. 1, pp. 125–146, 2014. Short version published in Risk Magazine, March 2010.

Counterparty Risk for CDS: Default Clustering Effects (with L. Bo). Journal of Banking and Finance, Vol. 52, 29–42, 2015.

Pricing Vulnerable Claims in a Lévy Driven Model (with S. Pagliarani and T. Vargiolu). Finance and Stochastics, Vol. 18, No. 4, 775–789, 2014.

Pricing and Semi-Martingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets (with J.E. Figueroa-Lopez and J. Nisen). Mathematical Finance, Vol. 24, No. 2, 250–288, 2014.