References

• 1990Adapted solution of a backward stochastic differential equation2,676 cited
• 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
• 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
• 1996Swap Rates and Credit Quality480 cited
• 2002On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case267 cited
• 2013Counterparty Credit Risk, Collateral and Funding176 cited
• 2013Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes101 cited
• 2011Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation80 cited
• 2012Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments71 cited
• 2015Valuation and Hedging of Contracts with Funding Costs and Collateralization62 cited
• 2014Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks53 cited
• 2013Credit Risk Modeling30 cited
• 2013Interest-Rate Modelling in Collateralized Markets: Multiple Curves, Credit-Liquidity Effects, CCPs25 cited
• 2016A BSDE approach to fair bilateral pricing under endogenous collateralization