Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples-Reference-Cited by-同舟云学术

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Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples

Published:2015 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bichuch Maxim,Capponi Agostino,Sturm Stephan

Publisher

Elsevier BV

Reference36 articles.

1. A global regulatory framework for more resilient banks and banking systems;Iii Basel;Available at www.bis.org,2010

2. Arbitrage-Free Pricing of XVA Part II: PDE Representation and Numerical Analysis

3. Arbitrage-free XVA;M Bichuch;Math. Finance. Preprint,2016

4. Valuation and hedging of contracts with funding costs and collateralization;T Bielecki;SIAM J. Finan. Math,2015

Cited by 3 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. Fair bilateral pricing under funding costs and exogenous collateralization;Mathematical Finance;2017-04-18

2. Managing Counterparty Credit Risk Via BSDEs;SSRN Electronic Journal;2016

3. Arbitrage-Free Pricing of XVA Part II: PDE Representation and Numerical Analysis;SSRN Electronic Journal;2015

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