Similar Search Results

Discount curve construction with tension splines

Andersen, Leif B. G. - In: Review of derivatives research 10 (2007) 3, pp. 227-267

Persistent link: https://www.econbiz.de/10003748110

Factor dependence of Bermudan swaptions : factor or fiction?

Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Journal of financial economics 62 (2001) 1, pp. 3-37

Persistent link: https://www.econbiz.de/10001608806

Volatility skews and extensions of the libor market model

Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Applied mathematical finance 7 (2000) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10001546115

Funding value adjustments

Andersen, Leif B. G.; Duffie, Darrell; Song, Yang - 2017

Persistent link: https://www.econbiz.de/10011731517

Reduced-form models: curve construction and the pricing of credit swaps, options and hybrids

Andersen, Leif - In: Credit derivatives : the definitive guide, (pp. 339-369). 2004

Persistent link: https://www.econbiz.de/10002799000

A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model

Andersen, Leif - In: The journal of computational finance 3 (1999/2000) 2, pp. 5-32

Persistent link: https://www.econbiz.de/10001517417

Funding Value Adjustments

Andersen, Leif B. G. - 2017

We demonstrate that the funding value adjustments (FVAs) of major dealers are debt-overhang costs to their shareholders. In order to maximize shareholder value, dealer quotations therefore adjust for FVAs. Contrary to current valuation practice, FVAs are not themselves components of the market...

Persistent link: https://www.econbiz.de/10012969815

Funding Value Adjustments

Andersen, Leif B. G. - 2017

We demonstrate that the funding value adjustments (FVAs) of major dealers are debt-overhang costs to their shareholders. In order to maximize shareholder value, dealer quotations therefore adjust for FVAs. Our case examples include interest-rate swap FVAs and violations of covered interest...

Persistent link: https://www.econbiz.de/10012949437

Funding Value Adjustments

Andersen, Leif - 2017

We demonstrate that the funding value adjustments (FVAs) of major dealers are debt-overhang costs to their shareholders. In order to maximize shareholder value, dealer quotations therefore adjust for FVAs. Our case examples include interest-rate swap FVAs and violations of covered interest...

Persistent link: https://www.econbiz.de/10012455002