Funding, repo and credit inclusive valuation as modified option pricing

DOI10.1016/j.orl.2017.10.009zbMath1409.91228arXiv1602.05998OpenAlexW2625137667MaRDI QIDQ1728382

Marek Rutkowski, Cristin Buescu, Damiano Brigo

Publication date: 22 February 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.05998

zbMATH Keywords

hedgingcredit riskcounterparty riskfunding costsvaluation adjustmentsrepo market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (4)

Binary funding impacts in derivative valuation ⋮ CVA and vulnerable options pricing by correlation expansions ⋮ Mildly explosive dynamics in U.S. fixed income markets ⋮ Arbitrage-free pricing of derivatives in nonlinear market models

Cites Work

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• Bilateral credit valuation adjustment for large credit derivatives portfolios
• On Models of Default Risk
• Valuation and Hedging of Contracts with Funding Costs and Collateralization
• Backward Stochastic Differential Equations in Finance
• Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
• COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Counterparty Credit Risk, Collateral and Funding
• PDE approach to valuation and hedging of credit derivatives

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