Pricing a Collateralized Derivative Trade with a Funding Value Adjustment-Reference-Cited by-同舟云学术

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Pricing a Collateralized Derivative Trade with a Funding Value Adjustment

Published:2015-01-26 Issue:1 Volume:8 Page:17-42
ISSN:1911-8074
Container-title:Journal of Risk and Financial Management
language:en
Short-container-title:JRFM

Author:

Hunzinger Chadd,Labuschagne Coenraad

Publisher

MDPI AG

Link

http://www.mdpi.com/1911-8074/8/1/17/pdf

Reference21 articles.

1. LIBOR vs. OIS: The derivatives discounting dilemma;Hull;J. Invest. Manag.,2013

2. Counterparty Credit Risk and Credit Value Adjustment—A Continuing Challenge for Global Financial Markets;Gregory,2012

3. The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs

4. The FVA debate;Hull;Risk Mag.,2012

5. Funding beyond discounting: Collateral agreements and derivatives pricing;Piterbarg;Risk Mag.,2010

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3. Pricing collateralised options in the presence of counterparty credit risk: An extension of the Heston–Nandi model;South African Statistical Journal;2022

4. A Comparison of Artificial Neural Networks and Bootstrap Aggregating Ensembles in a Modern Financial Derivative Pricing Framework;Journal of Risk and Financial Management;2021-06-07

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