Derivative pricing under asymmetric and imperfect collateralization and CVA
From MaRDI portal
Publication:5397416
DOI10.1080/14697688.2012.738931zbMath1281.91164arXiv1101.5849OpenAlexW3121548109MaRDI QIDQ5397416
Akihiko Takahashi, Masaaki Fujii
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1101.5849
Related Items (16)
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach ⋮ Pricing derivatives with counterparty risk and collateralization: a fixed point approach ⋮ Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates ⋮ The impact of non-cash collateralization on the over-the-counter derivatives markets ⋮ Valuation and Hedging of Contracts with Funding Costs and Collateralization ⋮ Implicit American Monte Carlo methods for nonlinear functional of future portfolio value ⋮ DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS ⋮ An overview of the valuation of collateralized derivative contracts ⋮ BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING ⋮ An FBSDE approach to American option pricing with an interacting particle method ⋮ Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks ⋮ Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing ⋮ Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs ⋮ A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
Cites Work
This page was built for publication: Derivative pricing under asymmetric and imperfect collateralization and CVA
