Fair bilateral pricing under funding costs and exogenous collateralization

DOI10.1111/MAFI.12145MaRDI QIDQ4642734zbMATH OpenOpenAlexFDO

Authors Tianyang Nie, Marek Rutkowski

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

BSDEcollateralfair pricingfunding costshedgingPDE

Mathematics Subject Classification ID

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

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(10)

• American options in nonlinear markets
• Arbitrage-free pricing of derivatives in nonlinear market models
• Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
• Valuation and hedging of contracts with funding costs and collateralization
• BSDEs driven by multidimensional martingales and their applications to markets with funding costs
• A BSDE approach to fair bilateral pricing under endogenous collateralization
• Fair bilateral prices in Bergman's model with exogenous collateralization
• A risk-sharing framework of bilateral contracts
• Notes on backward stochastic differential equations for computing XVA
• Pricing and hedging of SOFR derivatives

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