Fair bilateral pricing under funding costs and exogenous collateralization

DOI10.1111/mafi.12145zbMath1390.91284OpenAlexW2606043273MaRDI QIDQ4642734

Marek Rutkowski, Tianyang Nie

Publication date: 25 May 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12145

zbMATH Keywords

PDEcollateralhedgingBSDEfair pricingfunding costs

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (7)

FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION ⋮ A BSDE approach to fair bilateral pricing under endogenous collateralization ⋮ Valuation and Hedging of Contracts with Funding Costs and Collateralization ⋮ Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales ⋮ Notes on backward stochastic differential equations for computing XVA ⋮ American options in nonlinear markets ⋮ Arbitrage-free pricing of derivatives in nonlinear market models

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