BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (Q5175221): Difference between revisions
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Revision as of 21:04, 19 March 2024
scientific article; zbMATH DE number 6406599
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING |
scientific article; zbMATH DE number 6406599 |
Statements
BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (English)
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20 February 2015
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counterparty risk
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funding costs
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nonlinear pricing and hedging
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arbitrage
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backward stochastic differential equation
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