Funding, repo and credit inclusive valuation as modified option pricing (Q1728382): Difference between revisions
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| Property / author | |||
| Property / author: Damiano Brigo / rank | |||
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| Property / author: Cristin Buescu / rank | |||
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| Property / author: Marek Rutkowski / rank | |||
Revision as of 15:15, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Funding, repo and credit inclusive valuation as modified option pricing |
scientific article |
Statements
Funding, repo and credit inclusive valuation as modified option pricing (English)
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22 February 2019
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funding costs
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counterparty risk
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credit risk
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repo market
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valuation adjustments
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hedging
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