Derivative pricing with collateralization and FX market dislocations
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Publication:5367501
Recommendations
- Cross Currency Valuation and Hedging in the Multiple Curve Framework
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Cites work
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- Bilateral counterparty risk under funding constraints. II: CVA
- 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
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
- scientific article; zbMATH DE number 5305359 (Why is no real title available?)
- A general framework for a joint calibration of VIX and VXX options
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