We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has not yet been studied previously and reaching valuation when replication is not assumed. This unifying theoretical...

Since the 1970s, the LIBOR has served as a fundamental measure for floating term rates across multiple currencies and maturities. Loans and many derivative securities, including swaps, caps and swaptions, still rely on LIBOR as the reference forward-looking term rate. However, in 2017 the...