Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.
Year of publication: |
2010-05-15
|
---|---|
Authors: | Fries, Christian P. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Discounting | Valuation | Counterparty Risk | Collateral | Netting | CVA | DVA | Bond | Swap | Credit Risk | Own Credit Risk | Wrong Way Risk | Liquidity Risk |
-
Brigo, Damiano, (2014)
-
Kamtchueng, Christian, (2016)
-
Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study
Morales, Alberto Fernández Muñoz de, (2013)
- More ...
-
Partial proxy simulation schemes for generic and robust Monte-Carlo greeks
Fries, Christian P., (2006)
-
Conditional analytic Monte-Carlo pricing schemes of auto-callable products
Fries, Christian P., (2008)
-
Mathematical finance : theory, modeling, implementation
Fries, Christian, (2007)
- More ...