Funding Value Adjustment for General Financial Instruments: Theory and Practice
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Elsevier BV
Reference14 articles.
1. Algorithmic Exposure and CVA for Exotic Derivatives
2. Arbitrage Theory in Continuous Time
3. CVA and FVA with funding aware close outs
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1. Cross Currency Valuation and Hedging in the Multiple Curve Framework;SIAM Journal on Financial Mathematics;2021-01
2. Cross Currency Valuation and Hedging in the Multiple Curve Framework;SSRN Electronic Journal;2020
3. Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates;Springer Proceedings in Mathematics & Statistics;2015
4. A Note on Evaluation of Derivatives with Collaterals;SSRN Electronic Journal;2015
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