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

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

costs vanish are a very special case of the more general theory. We define a comprehensive framework that allows us to …-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 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 …

a massive consumption of collateral. This paper proposes a new model to account for collateral and its quality for both … implement more accurate methods for reflecting the "exact" value of collateral, preserving competitiveness and optimising …