An overview of the valuation of collateralized derivative contracts

DOI10.1007/S11147-014-9098-8MaRDI QIDQ475330zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

BSDECCP swaps reposOIS haircuts

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• CVA and FVA to derivatives trades collateralized by cash
• Derivative pricing with collateralization and FX market dislocations
• 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

• scientific article; zbMATH DE number 2144817 (Why is no real title available?)
• A multi-quality model of interest rates
• Backward Stochastic Differential Equations in Finance
• Bilateral counterparty risk under funding constraints. I: Pricing
• Bilateral counterparty risk under funding constraints. II: CVA
• Changes of numéraire, changes of probability measure and option pricing
• Counterparty risk and the impact of collateralization in CDS contracts
• Derivative pricing under asymmetric and imperfect collateralization and CVA
• Hedging contingent claims with constrained portfolios
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Modern LIBOR market models: using different curves for projecting rates and for discounting
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty

Cited in

(10)

• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
• Valuation and hedging of contracts with funding costs and collateralization
• Derivative pricing with collateralization and FX market dislocations
• Bergman, Piterbarg, and beyond: pricing derivatives under collateralization and differential rates
• A primal-dual algorithm for BSDEs
• CVA and FVA to derivatives trades collateralized by cash
• COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
• Iterative improvement of lower and upper bounds for backward SDEs
• A note on the self-financing condition for funding, collateral and discounting
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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