Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
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Publication:5169724
zbMATH Open1294.91005MaRDI QIDQ5169724FDOQ5169724
Authors: Stéphane Crépey, Tomasz R. Bielecki 
Publication date: 11 July 2014
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Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)
Cited In (56)
- Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
- Stopping times occurring simultaneously
- Mild to classical solutions for XVA equations under stochastic volatility
- A unified approach to xVA with CSA discounting and initial margin
- BSDEs of counterparty risk
- Funding, repo and credit inclusive valuation as modified option pricing
- Arbitrage-free pricing of derivatives in nonlinear market models
- Tight semi-model-free bounds on (bilateral) CVA
- A fully quantization-based scheme for FBSDEs
- Integrated structural approach to credit value adjustment
- Rational multi-curve models with counterparty-risk valuation adjustments
- Counterparty Risk in Financial Contracts: Should the Insured Worry about the Insurer?*
- A Lévy HJM multiple-curve model with application to CVA computation
- Asymptotic expansion for forward-backward SDEs with jumps
- Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
- Approximate value adjustments for European claims
- Pathwise dynamic programming
- Stochastic approximation schemes for economic capital and risk margin computations
- A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
- Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation
- Modelling and Computing the Total Value Adjustment for European Derivatives in a Multi-Currency Setting
- Total value adjustment for European options in a multi-currency setting
- Wrong way risk corrections to CVA in CIR reduced-form models
- Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs
- CVA and vulnerable options in stochastic volatility models
- FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
- Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
- Random time with differentiable conditional distribution function
- XVA analysis from the balance sheet
- Credit risk management for derivatives. Post-crisis metrics for end-users
- Joint densities of hitting times for finite state Markov processes
- Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
- CVA and vulnerable options pricing by correlation expansions
- American options in nonlinear markets
- Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
- Counterparty risk and funding: immersion and beyond
- Restructuring counterparty credit risk
- XVA in a multi-currency setting with stochastic foreign exchange rates
- Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities
- Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
- Quantitative analysis, derivatives modeling, and trading strategies. In the presence of counterparty credit risk for the fixed-income market.
- A risk-sharing framework of bilateral contracts
- Credit default swaps in two-dimensional models with various informations flows
- XVA principles, nested Monte Carlo strategies, and GPU optimizations
- Valuation and Hedging of Contracts with Funding Costs and Collateralization
- Counterparty risk and funding: the four wings of the TVA
- CVA in fractional and rough volatility models
- Bilateral counterparty risk under funding constraints. I: Pricing
- Bilateral counterparty risk under funding constraints. II: CVA
- Central clearing valuation adjustment
- Quantitative reverse stress testing, bottom up
- XVA metrics for CCP optimization
- Perturbative expansion technique for non-linear FBSDEs with interacting particle method
- A note on the self-financing condition for funding, collateral and discounting
- Design of master agreements for OTC derivatives
- Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives
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