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

DOI10.1142/S0219024915500119MaRDI QIDQ5249754zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

trading strategiesself-financing strategycost of fundingderivative hedgingfunding and discounting

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
• Bilateral counterparty risk under funding constraints. I: Pricing
• Bilateral counterparty risk under funding constraints. II: CVA
• Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
• Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
• 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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