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BSDE, XVA & Credit Risk

The frontier of derivatives valuation — backward SDEs and nonlinear Feynman–Kac, counterparty credit risk, the full XVA stack (CVA/DVA/FVA/KVA), and the Monte-Carlo and deep-BSDE methods that price them.

📚 14 lessons⏱ ~1.9 hours∑ Server-rendered mathematics

All-access membership — $29/mo

Unlocks this and every other course.

What you'll learn

  • ✓Set up and interpret backward SDEs and the nonlinear Feynman–Kac link to semilinear PDEs
  • ✓Model counterparty default and compute credit exposure (EE, EPE, PFE)
  • ✓Derive and compute CVA, DVA, FVA, KVA and the unified XVA equation
  • ✓Price XVA with Monte-Carlo exposure simulation, Longstaff–Schwartz, and deep-BSDE solvers

Use the outline on the left to navigate — or press ⌘K to jump to any lesson.