collateral agreement. We then verify the effect of the collateral agreement on the derivative transaction by using the …, and enables us to observe the influence of the collateral agreement on these. Our numerical results also verify how the … market equilibriums for the derivatives change according to the change of the collateral amount through the demand …

the collateral agreements. We also demonstrate whether our pricing approach is consistent with an another equilibrium …

for asymmetric collateral and funding rates, and exogenous liquidity policies and hedging strategies. Re …

-out netting rules. In particular, we allow for asymmetric collateral and funding rates, and exogenous liquidity policies and …

We illustrate a problem in the self-financing condition used in the papers "Funding beyond discounting: collateral …

Collateral discounting recognises the value of funding for derivatives, which has gained prominence in recent years as … basis spreads have widened in response to the financial crises. This article considers the impact of collateral volatility … expressions are derived for convexity adjustments and collateral options, in a form that easily integrates into curve building and …

collateral rate behave like martingales. This result implies that martingale measures are no longer associated to a specific …

to “double default events” when the counterparty and the issuer of the underlying collateral asset both default in a … credit risk in central bank's repo portfolios. In the model default times of counterparties and collateral issuers are …