Discounting Revisited: Valuation Under Funding, Counterparty Risk and Collateralization-Reference-Cited by-同舟云学术

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Discounting Revisited: Valuation Under Funding, Counterparty Risk and Collateralization

Published:2010 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Fries Christian P.

Publisher

Elsevier BV

Reference14 articles.

1. Classical solutions to reaction diffusion systems for hedging problems with interacting It� and point processes;Dirk ; Becherer;Ann. Appl. Probab,2005

2. Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations

3. Funded Replication: Valuing with Stochastic Funding

Cited by 30 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach;Handbook of Fixed-Income Securities;2016-04-01

2. Nonlinearity Valuation Adjustment;Innovations in Derivatives Markets;2016

3. FVA and CVA under margining;Studies in Economics and Finance;2015-08-03

4. References;Measuring and Managing Liquidity Risk;2013-08-29

5. Bibliography;Counterparty Credit Risk, Collateral and Funding;2013-08-28

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