Name
Title | ||
|---|---|---|
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. |
Abstract | ||
|---|---|---|
•We evaluate derivatives in presence of default risk, collateral, and funding costs.•We demonstrate the well posedness of the valuation equations.•We show that under delta hedging the valuation is independent from the risk-free rate.•We analyse the overlap of funding costs and treasury Debt Valuation Adjustment.•We illustrate how to consistently evaluate netting sets and portfolios. |
Year | DOI | Venue |
|---|---|---|
2019 | 10.1016/j.ejor.2018.10.046 | European Journal of Operational Research |
Keywords | Field | DocType |
Pricing,Valuation adjustments,Backward stochastic differential Equations,Funding costs,Nonlinear valuation | Closeout,Econometrics,Mathematical optimization,Nonlinear system,Financial crisis,Portfolio,Valuation (finance),Shareholder,Derivative (finance),Mathematics,Cash flow | Journal |
Volume | Issue | ISSN |
274 | 2 | 0377-2217 |
Citations | PageRank | References |
0 | 0.34 | 10 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Damiano Brigo | 1 | 17 | 8.42 |
| Marco Francischello | 2 | 0 | 0.34 |
| Andrea Pallavicini | 3 | 0 | 0.34 |