. The local conditional moment restrictions are of special relevance in derivative pricing for reconstructing the pricing … operator at a given day, by using the information in a few cross-sections of observed traded derivative prices and a time … series of underlying asset returns. The estimated derivative prices are consistent for large time series dimension, but fixed …

The 2008 credit crisis changed the manner in which derivative trades are conducted. One of these changes is the posting … adjustment to derivative prices, known as a funding value adjustment (FVA), which is interlinked with the posting of collateral … price of a collateralized derivative. The fact that the two models coincide is also verified by numerical implementation of …