DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS (Q5367501): Difference between revisions
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| Property / cites work: Counterparty Credit Risk, Collateral and Funding / rank | |||
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| Property / cites work: Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement / rank | |||
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| Property / cites work: BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA / rank | |||
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| Property / cites work: Q4794153 / rank | |||
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| Property / cites work: Derivative pricing under asymmetric and imperfect collateralization and CVA / rank | |||
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Revision as of 14:02, 14 July 2024
scientific article; zbMATH DE number 6790991
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS |
scientific article; zbMATH DE number 6790991 |
Statements
DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS (English)
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13 October 2017
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arbitrage-free pricing
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collateral
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funding costs
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foreign exchange market
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curve bootstrapping
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multiple currencies
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