Funding, repo and credit inclusive valuation as modified option pricing (Q1728382): Difference between revisions

@@ Property / DOI @@
-.1016/j.orl.2017.10.009
@@ Property / DOI: 10.1016/j.orl.2017.10.009 / rank @@
-Normal rank
@@ Property / author @@
-Damiano Brigo
@@ Property / author: Damiano Brigo / rank @@
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@@ Property / author @@
-Cristin Buescu
@@ Property / author: Cristin Buescu / rank @@
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@@ Property / author @@
-Marek Rutkowski
@@ Property / author: Marek Rutkowski / rank @@
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@@ Property / author @@
+Damiano Brigo
@@ Property / author: Damiano Brigo / rank @@
+Normal rank
@@ Property / author @@
+Cristin Buescu
@@ Property / author: Cristin Buescu / rank @@
+Normal rank
@@ Property / author @@
+Marek Rutkowski
@@ Property / author: Marek Rutkowski / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2625137667
@@ Property / OpenAlex ID: W2625137667 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.05998
@@ Property / arXiv ID: 1602.05998 / rank @@
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@@ Property / cites work @@
+COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
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@@ Property / cites work @@
+Q4657105
@@ Property / cites work: Q4657105 / rank @@
+Normal rank
@@ Property / cites work @@
+PDE approach to valuation and hedging of credit derivatives
+Normal rank
@@ Property / cites work @@
+Valuation and Hedging of Contracts with Funding Costs and Collateralization
+Normal rank
@@ Property / cites work @@
+Bilateral credit valuation adjustment for large credit derivatives portfolios
+Normal rank
@@ Property / cites work @@
+ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
+Normal rank
@@ Property / cites work @@
+Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
+Normal rank
@@ Property / cites work @@
+Counterparty Credit Risk, Collateral and Funding
@@ Property / cites work: Counterparty Credit Risk, Collateral and Funding / rank @@
+Normal rank
@@ Property / cites work @@
+Q5169724
@@ Property / cites work: Q5169724 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+On Models of Default Risk
@@ Property / cites work: On Models of Default Risk / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.ORL.2017.10.009
@@ Property / DOI: 10.1016/J.ORL.2017.10.009 / rank @@
+Normal rank