In this research note, we price Bermudan structured derivatives including the consequences of default, collateral … margining, funding and investment costs. We use LSA Monte Carlo method for finding MTM for collateral margining along all … third sweep of LS Monte Carlo to calculate 'final MTM' in which we find the price of the derivative while simultaneously …

When used as derivatives collateral, securities have to be exchanged for cash in the repo market. The repo market … applies different haircuts from collateral agreements, creating a pocket of unsecured credit exposure and uncovered funding … perpetual in nature. This article synthesizes these effects on derivative pricing into a derivative financing rate that replaces …

of derivative trades: two different types of collateral, the time delay of collateral posting and the rating …Rehypothecation is the practice where a derivatives dealer reuses collateral posted from its end user in over …-the-counter (OTC) derivatives markets. Although rehypothecation benefits the end user through cost reduction of derivative trades, it …

We extend Piterbarg's (2010) result on European-style derivative pricing under collateralization by relaxing the …-linear price functionals for general claims. Buyer and seller prices diverge, and values of derivative portfolios are not the sum …

In recent years, we have observed the dramatic increase of the use of collateral as an important credit risk mitigation … tool. It has become even rare to make a contract without collateral agreement among the major financial institutions. In … collateralization on the derivative pricing by constructing the term structure of swap rates based on the actual market data.It has also …

maturities. Loans and many derivative securities, including swaps, caps and swaptions, still rely on LIBOR as the reference … collateral backing. As hedging instruments, we take liquidly traded SOFR futures and either common or idiosyncratic funding rates …

This note analyses derivative pricing in the context of a collateral rate switch during the life of a financial product … or the existence of two overnight rates. In particular we analyse the impact of forward change of collateral, the impact … on OISs when the collateral rate is different from the OIS underlying, and the impact of bilateral swaptions collateral …

this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is … asymmetric and imperfect collateralization with the associated counter party credit risk. By introducing the collateral coverage …-linear FBSDE and cannot be solve exactly, the fist order approximation is provided using Gateaux derivative. We have shown that it …

We analyse the most common market instruments to manage and optimise collateral allocation: the repo, the sell/buy back …