A note on the self-financing condition for funding, collateral and discounting
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Publication:5249754
DOI10.1142/S0219024915500119zbMATH Open1337.91089OpenAlexW2092944841MaRDI QIDQ5249754FDOQ5249754
Authors: Damiano Brigo, Cristin Buescu, Andrea Pallavicini, Qing Liu 
Publication date: 11 May 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024915500119
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Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
- Bilateral counterparty risk under funding constraints. I: Pricing
- Bilateral counterparty risk under funding constraints. II: CVA
- Counterparty risk and funding: the four wings of the TVA
- Pricing counterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
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