Valuation and Hedging of Contracts with Funding Costs and Collateralization (Q2941474): Difference between revisions

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+VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
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+COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES
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+ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
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+PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK
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+Backward Stochastic Differential Equations Driven By Càdlàg Martingales
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+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
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+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
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+Q5169724
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+Backward Stochastic Differential Equations in Finance
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+Q4357500
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+WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS
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+Derivative pricing under asymmetric and imperfect collateralization and CVA
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+A multi-quality model of interest rates
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+MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING
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+Fair bilateral pricing under funding costs and exogenous collateralization
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+FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION
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+A BSDE approach to fair bilateral pricing under endogenous collateralization
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