Search results
From MaRDI portal
- planning in a deterministic environment: Continuous time model with concave costs 1984-01-01 Paper Ergodic control problem for one-dimensional diffusions with...10 bytes (17 words) - 13:44, 7 December 2023
- risk; basis swaps; counterparty credit risk; interest rate derivatives; funding costs; yield curve dynamics; HJM framework; collateral modeling; multiple curve...15 bytes (89 words) - 16:05, 2 May 2024
- Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs 2014-01-23 Paper Effects of white noise in multistable dynamics 2013-11-12...10 bytes (16 words) - 14:30, 24 September 2023
- Brave) zbMATH Keywords valuation; liquidity risk; balance sheet; CVA; funding costs; FVA; DVA Mathematics Subject Classification ID 91G20: Derivative securities...15 bytes (50 words) - 20:37, 8 February 2024
- Keywords collateral; foreign exchange market; arbitrage-free pricing; funding costs; curve bootstrapping; multiple currencies Mathematics Subject Classification...15 bytes (57 words) - 01:31, 9 February 2024
- 1016/j.econlet.2020.109261 zbMATH Keywords bank regulation; deposit funding costs; too-big-to-fail Mathematics Subject Classification ID 91G45: Financial...15 bytes (61 words) - 11:46, 30 January 2024
- at URL: https://doi.org/10.1080/14697688.2016.1152391 zbMATH Keywords funding costs; fed funds futures; unsecured interbank money market Mathematics Subject...15 bytes (61 words) - 11:59, 7 February 2024
- d2849031.pdf zbMATH Keywords liquidity risk; sovereign risk; banks' funding costs Mathematics Subject Classification ID 91B64: Macroeconomic theory (monetary...15 bytes (65 words) - 05:30, 1 February 2024
- org/abs/1602.05998 zbMATH Keywords hedging; credit risk; counterparty risk; funding costs; valuation adjustments; repo market Mathematics Subject Classification...15 bytes (69 words) - 07:42, 1 February 2024
- 12145 zbMATH Keywords PDE; collateral; hedging; BSDE; fair pricing; funding costs Mathematics Subject Classification ID 60H30: Applications of stochastic...15 bytes (68 words) - 17:01, 7 February 2024
- backward stochastic differential equation; arbitrage; counterparty risk; funding costs; nonlinear pricing and hedging Mathematics Subject Classification ID...15 bytes (68 words) - 16:46, 8 February 2024
- differential equation; counterparty risk; credit valuation adjustment; funding costs Mathematics Subject Classification ID 60H30: Applications of stochastic...15 bytes (78 words) - 16:46, 8 February 2024
- zbMATH Keywords backward stochastic differential equations; pricing; funding costs; nonlinear valuation; valuation adjustments Mathematics Subject Classification...15 bytes (85 words) - 04:44, 1 February 2024
- org/abs/1410.0449 zbMATH Keywords comparison theorem; arbitrage pricing; BSDE; funding costs Mathematics Subject Classification ID 60H10: Stochastic ordinary differential...15 bytes (86 words) - 23:01, 3 February 2024
- property; bilateral pricing; endogenous collateralization; idiosyncratic funding costs Mathematics Subject Classification ID 60H10: Stochastic ordinary differential...15 bytes (85 words) - 03:32, 30 January 2024
- Keywords collateral; credit risk; funding costs; nonlinear valuation; consistent valuation; credit valuation adjustment CVA; funding valuation adjustment FVA;...15 bytes (97 words) - 19:54, 7 February 2024
- BSDE; FBSDE; counterparty credit risk; semi-linear PDE; funding costs; nonlinear valuation; funding valuation adjustment; derivatives valuation; nonlinearity...15 bytes (98 words) - 19:54, 7 February 2024
- pricing; American option; CIR process; switching regimes; perpetual option; funding costs; prepayment option; liquidity regime; loan prepayment; Markov modulated...15 bytes (114 words) - 20:28, 3 February 2024
- electric circuit equation 2018-12-05 Paper An investment model with switching costs and the option to abandon 2018-12-05 Paper Asymptotic properties of QML estimation...10 bytes (15 words) - 17:16, 24 September 2023
- Paper Design and analysis of load distribution strategies with start-up costs in scheduling divisible loads on distributed networks 2001-01-14 Paper A...10 bytes (15 words) - 16:16, 24 September 2023