Fixing risk neutral risk measures

DOI10.1142/S0219024916500217zbMATH Open1403.91365OpenAlexW3124040669MaRDI QIDQ2806368FDOQ2806368

Authors: Harvey J. Stein 

Publication date: 17 May 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500217

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zbMATH Keywords

option pricingriskrisk neutral measureexpected exposures (EE), credit valuation adjustment (CVA)exposure calculationpotential future exposures (PFE)real world measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82) Credit risk (91G40)

Cites Work

• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide

Cited In (5)

• Speed-up credit exposure calculations for pricing and risk management
• A multi-curve HJM factor model for pricing and risk management
• Risk neutrality regions
• Exposure valuations and their capital requirements
• A Structural Approach to Default Modelling with Pure Jump Processes

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