CVA and FVA to derivatives trades collateralized by cash
Year of publication: |
2015
|
---|---|
Authors: | Wu, Lixin |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 5, p. 1-22
|
Subject: | Counterparty default risk | credit valuation adjustment | funding valuation adjustment | partial differential equation | Kreditrisiko | Credit risk | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
-
Brigo, Damiano, (2014)
-
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun, (2021)
-
Valuing vulnerable options with two underlying assets
Wang, Xingchun, (2020)
- More ...
-
Arbitrage pricing of credit derivatives
Ho, Siu Lam, (2008)
-
Wu, Lixin, (2015)
-
Interest rate modeling : theory and practice
Wu, Lixin, (2009)
- More ...