Binary funding impacts in derivative valuation-Reference-Cited by-同舟云学术

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Binary funding impacts in derivative valuation

Published:2020-09-14 Issue:1 Volume:31 Page:242-278
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Lee Junbeom¹^ORCID,Zhou Chao²³⁴^ORCID

Affiliation:

1. Department of Sales and Trading Yuanta Securities Korea Seoul Korea

2. Department of Mathematics National University of Singapore Singapore

3. Institute of Operations Research and Analytics National University of Singapore Singapore

4. Suzhou Research Institute National University of Singapore Singapore

Funder

Singapore MOE AcRF Grant

Publisher

Wiley

Subject

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

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12287

Reference37 articles.

1. Funding Value Adjustments

2. Arbitrage-free XVA

3. Arbitrage-free pricing of derivatives in nonlinear market models

4. Pricing and trading credit default swaps in a hazard process model

Cited by 2 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. Generalized BSDE and reflected BSDE with random time horizon;Electronic Journal of Probability;2023-01-01

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

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