An overview of the valuation of collateralized derivative contracts
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Publication:475330
DOI10.1007/S11147-014-9098-8zbMATH Open1300.91050OpenAlexW1978546215MaRDI QIDQ475330FDOQ475330
Authors: Jean-Paul Laurent, Philippe Amzelek, Joe Bonnaud 
Publication date: 26 November 2014
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-014-9098-8
Recommendations
- CVA and FVA to derivatives trades collateralized by cash
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- Pricing counterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach
- Bergman, Piterbarg, and beyond: pricing derivatives under collateralization and differential rates
Cites Work
- Backward Stochastic Differential Equations in Finance
- Hedging contingent claims with constrained portfolios
- Title not available (Why is that?)
- Changes of numéraire, changes of probability measure and option pricing
- Modern LIBOR market models: using different curves for projecting rates and for discounting
- A multi-quality model of interest rates
- Derivative pricing under asymmetric and imperfect collateralization and CVA
- Counterparty risk and the impact of collateralization in CDS contracts
- Bilateral counterparty risk under funding constraints. I: Pricing
- Bilateral counterparty risk under funding constraints. II: CVA
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Modelling, pricing, and hedging counterparty credit exposure. A technical guide
Cited In (9)
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- Iterative improvement of lower and upper bounds for backward SDEs
- A primal-dual algorithm for BSDEs
- CVA and FVA to derivatives trades collateralized by cash
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Bergman, Piterbarg, and beyond: pricing derivatives under collateralization and differential rates
- COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
- Derivative pricing with collateralization and FX market dislocations
- A note on the self-financing condition for funding, collateral and discounting
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