A note on the self-financing condition for funding, collateral and discounting

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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zbMATH Keywords

trading strategiesself-financing strategycost of fundingderivative hedgingfunding and discounting

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Counterparty Credit Risk, Collateral and Funding
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Title not available (Why is that?)
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART 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

Cited In (1)

• Cross Currency Valuation and Hedging in the Multiple Curve Framework

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