Derivative pricing with collateralization and FX market dislocations
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Publication:5367501
DOI10.1142/S0219024917500406zbMATH Open1396.91753OpenAlexW2751876766MaRDI QIDQ5367501FDOQ5367501
Authors: Nicola Moreni, Andrea Pallavicini 
Publication date: 13 October 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024917500406
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collateralforeign exchange marketarbitrage-free pricingfunding costscurve bootstrappingmultiple currencies
Cites Work
- Title not available (Why is that?)
- Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
- Derivative pricing under asymmetric and imperfect collateralization and CVA
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- Bilateral counterparty risk under funding constraints. II: CVA
Cited In (7)
- Cross Currency Valuation and Hedging in the Multiple Curve Framework
- On derivatives with illiquid underlying and market manipulation
- Pricing collateralized derivatives with an arbitrary numeraire
- An overview of the valuation of collateralized derivative contracts
- Smile modeling in commodity markets
- Title not available (Why is that?)
- A general framework for a joint calibration of VIX and VXX options
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