DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS

DOI10.1142/S0219024917500406zbMath1396.91753OpenAlexW2751876766MaRDI QIDQ5367501

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

zbMATH Keywords

collateralforeign exchange marketarbitrage-free pricingfunding costscurve bootstrappingmultiple currencies

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items

SMILE MODELING IN COMMODITY MARKETS ⋮ Cross Currency Valuation and Hedging in the Multiple Curve Framework

Cites Work

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• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
• Derivative pricing under asymmetric and imperfect collateralization and CVA
• Counterparty Credit Risk, Collateral and Funding