The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric and imperfect collateralization with the...

This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...

In recent years, we have observed dramatic increase of collateralization as an important credit risk mitigation tool in over the counter (OTC) market [6]. Combined with the significant and persistent widening of various basis spreads, such as Libor-OIS and cross currency basis, the practitioners...

In this work, we have presented a simple analytical approximation scheme for generic non-linear FBSDEs. By treating the interested system as the linear decoupled FBSDE perturbed with non-linear generator and feedback terms, we have shown that it is possible to carry out a recursive approximation...

This paper derives asymptotic expansion formulas for option prices and implied volatilities as well as the density of the underlying asset price in a stochastic volatility model. In particular, the integration-by-parts formula in Malliavin calculus and the push-down of Malliavin weights are...

In the forthcoming ISDA Standard Credit Support Annex (SCSA), the trades denominated in non-G5 currencies as well as those include multiple currencies are expected to be allocated to the USD silo, where the contracts are collateralized by USD cash, or a different currency with an appropriate...