References

• 1997Backward Stochastic Differential Equations in Finance2,339 cited
• 1993Hedging Contingent Claims with Constrained Portfolios250 cited
• 1996On the pricing of contingent claims under constraints191 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
• 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING130 cited
• 1998Hedging American contingent claims with constrained portfolios122 cited
• 1995Option Pricing with Differential Interest Rates91 cited
• 2012Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments71 cited
• 2000Viability property for a backward stochastic differential equation and applications to partial differential equations70 cited
• 2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting70 cited
• 2006On the comparison theorem for multidimensional BSDEs67 cited
• 2008Backward Stochastic Differential Equations Driven By Càdlàg Martingales65 cited
• 2015Valuation and Hedging of Contracts with Funding Costs and Collateralization62 cited