Pricing a collateralized derivative trade with a funding value adjustment
Year of publication: |
2015
|
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Authors: | Hunzinger, Chadd B. ; Labuschagne, Coenraad C. A. |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 8.2015, 1, p. 17-42
|
Publisher: |
Basel : MDPI |
Subject: | collateral | Cox | Ross and Rubinstein model | CSA | FVA | ISDA | Piterbarg model |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/jrfm8010017 [DOI] 871488523 [GVK] hdl:10419/178553 [Handle] |
Classification: | C51 - Model Construction and Estimation ; G12 - Asset Pricing ; C53 - Forecasting and Other Model Applications ; G01 - Financial Crises |
Source: |
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Pricing a collateralized derivative trade with a funding value adjustment
Hunzinger, Chadd B., (2015)
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