Counterparty Credit Risk, Collateral and Funding

DOI10.1002/9781118818589zbMath1288.91001OpenAlexW4233377166MaRDI QIDQ5418750

Massimo Morini, Andrea Pallavicini, Damiano Brigo

Publication date: 27 May 2014

Full work available at URL: https://doi.org/10.1002/9781118818589

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Credit risk (91G40)

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