principle initiated by Buhlmann (1980). The derivative markets in our model are over-the-counter (OTC) markets and have … the collateral agreements. We also demonstrate whether our pricing approach is consistent with an another equilibrium … pricing rule in the point of the sensitivity of derivative prices …

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 …

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 …

Credit Support Annexes (CSAs) that allow multiple currencies as collateral give rise to a collateral choice option in …

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 …

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 …

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 develop an arbitrage-free framework for consistent valuation of derivative trades with collateralization … framework addresses common market practices of ISDA governed deals without restrictive assumptions on collateral margin payments … detail in Brigo and Pallavicini (2014). In particular, we allow for asymmetric collateral and funding rates, replacement …