Pages that link to "Item:Q3464672"
From MaRDI portal
The following pages link to Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates (Q3464672):
Displaying 6 items.
- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations (Q256114) (← links)
- A BSDE approach to fair bilateral pricing under endogenous collateralization (Q331356) (← links)
- American options in nonlinear markets (Q2042845) (← links)
- Probabilistic error analysis for some approximation schemes to optimal control problems (Q2173064) (← links)
- Portfolio optimization of credit swap under funding costs (Q2296104) (← links)
- FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION (Q3460683) (← links)
