Fair bilateral pricing under funding costs and exogenous collateralization-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Fair bilateral pricing under funding costs and exogenous collateralization

Published:2017-04-18 Issue:2 Volume:28 Page:621-655
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Nie Tianyang¹,Rutkowski Marek²³

Affiliation:

1. School of Mathematics; Shandong University; Jinan Shandong China

2. School of Mathematics and Statistics; University of Sydney; Sydney NSW Australia

3. Faculty of Mathematics and Information Science; Warsaw University of Technology; Warszawa Poland

Funder

National Natural Sciences Foundations of China

Natural Science Foundation of Shandong Province

Fundamental Research Funds of Shandong University

DVC

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12145/fullpdf

Reference26 articles.

1. Option pricing with differential interest rates;Bergman;Review of Financial Studies,1995

2. Bichuch , M. Capponi , A. Sturm , S. 2015a Arbitrage-free pricing of XVA-Part I: Framework and explicit examples

3. Bichuch , M. Capponi , A. Sturm , S. 2015b Arbitrage-free pricing of XVA - Part II: PDE representation and numerical analysis

4. Valuation and hedging of contracts with funding costs and collateralization;Bielecki;SIAM Journal on Financial Mathematics,2015

5. Bilateral counterparty risk with application to CDSs;Brigo;Risk,2010

Cited by 12 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 with XVAs: Two Converging Approaches;Mathematics;2022-03-02

2. Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales;Probability, Uncertainty and Quantitative Risk;2021

3. American options in nonlinear markets;Electronic Journal of Probability;2021-01-01

4. Notes on Backward Stochastic Differential Equations for Computing XVA;Proceedings of the Forum "Math-for-Industry" 2018;2021

5. Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization;SSRN Electronic Journal;2021

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3