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Valuation and Hedging of Contracts with Funding Costs and Collateralization
16 references·5 citing·39 second hop
Valuation and Hedging of Contracts with Funding Costs and Collateralization (2015)Valuation and Hedging of Contracts with F…Counterparty Risk and Funding: A Tale of Two Puzzles (2014)Counterparty Risk and Funding…LIBOR vs. OIS: The Derivatives Discounting Dilemma (2013)LIBOR vs. OIS: The Derivative…Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments (2012)Funding, Collateral and Hedgi…CVA and Wrong-Way Risk (2012)CVA and Wrong-Way RiskBILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)BILATERAL COUNTERPARTY RISK U…BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (2012)BILATERAL COUNTERPARTY RISK U…ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)ARBITRAGE‐FREE BILATERAL COUN…In the Balance (2011)In the BalanceCollateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting (2011)Collateral Margining in Arbit…Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs (2010)Partial Differential Equation…MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING (2010)MODERN LIBOR MARKET MODELS: U…A Note on Construction of Multiple Swap Curves with and without Collateral (2009)A Note on Construction of Mul…A multi-quality model of interest rates (2009)A multi-quality model of inte…Backward Stochastic Differential Equations Driven By Càdlàg Martingales (2008)Backward Stochastic Different…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Option Pricing with Differential Interest Rates (1995)Option Pricing with Different…XVA analysis from the balance sheet (2020)XVA analysis from the balance…Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework (2020)Deep xVA Solver – A Neural Ne…Arbitrage‐free XVA (2017)Arbitrage‐free XVACounterparty risk and funding: immersion and beyond (2016)Counterparty risk and funding…A General HJM Framework for Multiple Yield Curve Modeling (2014)A General HJM Framework for M…Limit Theorems for Stochastic Processes (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High Dimensional BSDEs (2017)Forward-Backward Stochastic Differential Equations and their Applications (2007)Everything You Always Wanted to Know about Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask (2013)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)LIBOR Market Models with Stochastic Basis (2010)Parsimonious HJM modelling for multiple yield curve dynamics (2013)A general HJM framework for multiple yield curve modelling (2016)Optimum consumption and portfolio rules in a continuous-time model (1971)Capital Market Equilibrium with Restricted Borrowing (1972)The Pricing of Options and Corporate Liabilities (1973)Least-Squares Monte Carlo for Backward SDEs (2012)A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (2015)The term structure of very short-term rates: New evidence for the expectations hypothesis (2000)Explaining the Rate Spread on Corporate Bonds (2001)On the Term Structure of Default Premia in the Swap and LIBOR Markets (2001)Valuing Derivatives: Funding Value Adjustments and Fair Value (2013)Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads (2019)Life after LIBOR (2021)Stochastic Integration and Differential Equations (2005)Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation (2011)Pricing vulnerable options with stochastic volatility (2017)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Partial Differential Equations (2010)The impact of default risk on the prices of options and other derivative securities (1995)Valuing Credit Default Swaps II (2001)Risk management and financial institutions (2006)Collateral and credit issues in derivatives pricing (2014)BOUNDING WRONG‐WAY RISK IN CVA CALCULATION (2016)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Counterparty Risk and the Pricing of Defaultable Securities (2001)On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations (2019)KVA: Capital Valuation Adjustment (2014)
this work references cited by second hop

References

  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2010Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs179 cited
  • 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA163 cited
  • 2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS158 cited
  • 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING130 cited
  • 2012CVA and Wrong-Way Risk108 cited
  • 2009A multi-quality model of interest rates105 cited
  • 2013LIBOR vs. OIS: The Derivatives Discounting Dilemma100 cited
  • 2011In the Balance92 cited
  • 1995Option Pricing with Differential Interest Rates91 cited
  • 2009A Note on Construction of Multiple Swap Curves with and without Collateral87 cited
  • 2012Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments71 cited
  • 2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting70 cited
  • 2008Backward Stochastic Differential Equations Driven By Càdlàg Martingales65 cited
  • 2010MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING

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64 cited
  • 2014Counterparty Risk and Funding: A Tale of Two Puzzles62 cited
  • Cited by

    • 2020Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework49 cited
    • 2017Arbitrage‐free XVA48 cited
    • 2016Counterparty risk and funding: immersion and beyond41 cited
    • 2014A General HJM Framework for Multiple Yield Curve Modeling40 cited
    • 2020XVA analysis from the balance sheet33 cited