Pages that link to "Item:Q2941474"

The following pages link to Valuation and Hedging of Contracts with Funding Costs and Collateralization (Q2941474):

Displaying 29 items.

• A general HJM framework for multiple yield curve modelling (Q287657) (← links)
• A BSDE approach to fair bilateral pricing under endogenous collateralization (Q331356) (← links)
• Counterparty risk and funding: immersion and beyond (Q331358) (← links)
• Arbitrage-free pricing of multi-person game claims in discrete time (Q503392) (← links)
• Discrete time stochastic multi-player competitive games with affine payoffs (Q898397) (← links)
• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement (Q1634318) (← links)
• Pricing and hedging vulnerable option with funding costs and collateral (Q1663930) (← links)
• Funding, repo and credit inclusive valuation as modified option pricing (Q1728382) (← links)
• American options in nonlinear markets (Q2042845) (← links)
• Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics (Q2230762) (← links)
• Credit, funding, margin, and capital valuation adjustments for bilateral portfolios (Q2296097) (← links)
• Portfolio optimization of credit swap under funding costs (Q2296104) (← links)
• Arbitrage-free pricing of derivatives in nonlinear market models (Q2296111) (← links)
• A computational approach to hedging credit valuation adjustment in a jump-diffusion setting (Q2661050) (← links)
• BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs (Q3178727) (← links)
• FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION (Q3460683) (← links)
• Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects (Q4689900) (← links)
• XVA analysis from the balance sheet (Q5014178) (← links)
• SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION (Q5048585) (← links)
• Cheapest-to-deliver collateral: a common factor approach (Q5079362) (← links)
• When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments (Q5112532) (← links)
• A Risk-Sharing Framework of Bilateral Contracts (Q5112729) (← links)
• European Options in a Nonlinear Incomplete Market Model with Default (Q5131411) (← links)
• Cross Currency Valuation and Hedging in the Multiple Curve Framework (Q5162842) (← links)
• A Unified Approach to xVA with CSA Discounting and Initial Margin (Q5162843) (← links)
• Central Clearing Valuation Adjustment (Q5266361) (← links)
• Binary funding impacts in derivative valuation (Q6054135) (← links)
• Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework (Q6159074) (← links)
• A change of measure formula for recursive conditional expectations (Q6633866) (← links)