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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~person:"Brigo, Damiano"
~person:"Guéant, Olivier"
~subject:"Insolvenz"
~subject:"Option pricing theory"
~subject:"bilateral CVA"
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Option pricing theory
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arbitrage-free credit valuation adjustment
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Brigo, Damiano
Guéant, Olivier
Capponi, Agostino
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Linetsky, Vadim
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Mathematical finance : an international journal of mathematics, statistics and financial theory
International journal of theoretical and applied finance
3
Finance and stochastics
1
Operations research letters
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Springer Finance
1
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ECONIS (ZBW)
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Option pricing and hedging with execution costs and market impact
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
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2
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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3
An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
Brigo, Damiano
;
El-Bachir, Naoufel
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 365-382
Persistent link: https://www.econbiz.de/10008665084
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