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- endogenous collateralization, Valuation and Hedging of Contracts with Funding Costs and Collateralization, Existence, uniqueness and strict comparison theorems...15 bytes (129 words) - 17:01, 7 February 2024
- COLLATERAL CHOICE OPTION Cites Work Valuation and Hedging of Contracts with Funding Costs and Collateralization On the Heston Model with Stochastic Interest Rates...15 bytes (128 words) - 13:21, 8 February 2024
- PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS Uses Software OptAn...15 bytes (145 words) - 04:03, 7 March 2024
- Multidimensional Martingales and Their Applications to Markets with Funding Costs, Discretisation of FBSDEs driven by càdlàg martingales, Existence and...15 bytes (142 words) - 12:04, 3 February 2024
- driven by RCLL martingales, Pricing and hedging vulnerable option with funding costs and collateral, Existence, uniqueness and strict comparison theorems...15 bytes (369 words) - 23:01, 3 February 2024
- PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS...15 bytes (153 words) - 19:00, 4 February 2024
- portfolios On Models of Default Risk Valuation and Hedging of Contracts with Funding Costs and Collateralization Backward Stochastic Differential Equations in Finance...15 bytes (182 words) - 07:42, 1 February 2024
- PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS Cites Work Unnamed Item Option pricing and Esscher transform under regime...15 bytes (167 words) - 04:19, 30 January 2024
- and Hedging of Contracts with Funding Costs and Collateralization Dynamic Hedging Under Jump Diffusion with Transaction Costs ARBITRAGE-FREE VALUATION OF...15 bytes (202 words) - 11:48, 3 February 2024
- options in nonlinear markets, Portfolio optimization of credit swap under funding costs, Piecewise constant policy approximations to Hamilton-Jacobi-Bellman...15 bytes (197 words) - 22:00, 4 February 2024
- Multidimensional Martingales and Their Applications to Markets with Funding Costs, \(\mathbb L^p\) solutions of backward stochastic differential equations...15 bytes (181 words) - 05:02, 7 February 2024
- Credit, funding, margin, and capital valuation adjustments for bilateral portfolios, Portfolio optimization of credit swap under funding costs, Continuous...15 bytes (786 words) - 16:46, 8 February 2024
- noises in a general filtration Valuation and Hedging of Contracts with Funding Costs and Collateralization Arbitrage‐free XVA Numerical approximations of...15 bytes (222 words) - 14:29, 8 February 2024
- Items PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS Cites Work Perpetual American maximum options with Markov-modulated dynamics...15 bytes (207 words) - 04:01, 30 January 2024
- Multidimensional Martingales and Their Applications to Markets with Funding Costs, Monotone stability of quadratic semimartingales with applications to...15 bytes (474 words) - 14:56, 29 April 2024
- Multidimensional Martingales and Their Applications to Markets with Funding Costs, A BSDE approach to fair bilateral pricing under endogenous collateralization...15 bytes (503 words) - 00:57, 5 February 2024
- Multidimensional Martingales and Their Applications to Markets with Funding Costs, Power utility maximization under partial information: some convergence...15 bytes (215 words) - 06:21, 7 February 2024
- adjustments under collateralization, Valuation and Hedging of Contracts with Funding Costs and Collateralization, WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE...15 bytes (235 words) - 22:54, 8 February 2024
- Multidimensional Martingales and Their Applications to Markets with Funding Costs, Exponential models by Orlicz spaces and applications, A PDE representation...15 bytes (225 words) - 08:42, 1 February 2024
- PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS, Nonzero-Sum Stochastic Differential Games With Stopping Times and Free...15 bytes (225 words) - 11:26, 30 January 2024
