A new model for pricing collateralized financial derivatives
Year of publication: |
2016
|
---|---|
Authors: | Xiao, Tim |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 24.2017, 4, p. 8-20
|
Subject: | Derivat | Derivative | Kreditsicherung | Collateral | Optionspreistheorie | Option pricing theory | CAPM |
-
Price impacts of imperfect collateralization
Shiraya, Kenichiro, (2016)
-
Derivative pricing with collateralization and FX market dislocations
Moreni, Nicola, (2017)
-
An equilibrium pricing for OTC derivatives with non-cash collateralisation
Takino, Kazuhiro, (2018)
- More ...
-
A New Model for Pricing Collateralized OTC Derivatives
Xiao, Tim, (2017)
-
An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk
Xiao, Tim, (2015)
-
A Simple and Precise Method for Pricing Convertible Bond with Credit Risk
Xiao, Tim, (2013)
- More ...