Valuation and Hedging of Contracts with Funding Costs and Collateralization
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Publication:2941474
DOI10.1137/130928819zbMath1320.91151arXiv1405.4079OpenAlexW1502017070MaRDI QIDQ2941474
Tomasz R. Bielecki, Marek Rutkowski
Publication date: 28 August 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.4079
Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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