Funding, repo and credit inclusive valuation as modified option pricing-Reference-Cited by-同舟云学术

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Funding, repo and credit inclusive valuation as modified option pricing

Published:2017-11 Issue:6 Volume:45 Page:665-670
ISSN:0167-6377
Container-title:Operations Research Letters
language:en
Short-container-title:Operations Research Letters

Author:

Brigo D.,Buescu C.,Rutkowski M.

Funder

EPSRC

DVC Bridging Support

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference21 articles.

1. Arbitrage-free XVA;Bichuch;Mathematical Finance,2017

2. Collateralized CVA valuation with rating triggers and credit migrations;Bielecki;Int. J. Theor. Appl. Finance,2013

3. Modeling and valuation of credit risk;Bielecki,2004

4. PDE approach to valuation and hedging of credit derivatives;Bielecki;Quant. Finance,2005

5. Credit Risk Modeling;Bielecki,2009

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1. Weighted least squares estimation of the risk-free rate from derivative prices;Communications in Statistics: Case Studies, Data Analysis and Applications;2023-01-02

2. Nonlinear Valuation with XVAs: Two Converging Approaches;Mathematics;2022-03-02

3. A Derivatives Pricing Model with Non-Cash Collateralization;The Journal of Derivatives;2020-12-14

4. Mildly explosive dynamics in U.S. fixed income markets;European Journal of Operational Research;2020-12

5. Binary funding impacts in derivative valuation;Mathematical Finance;2020-09-14

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