ALBANESE, CLAUDIO; BRIGO, DAMIANO; OERTEL, FRANK - In: International Journal of Theoretical and Applied … 16 (2013) 02, pp. 1350010-1
We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...
