In this paper we describe how to include funding and margining costs into a risk-neutral pricing framework for counter-party credit risk. We consider realistic settings and we include in our models the common market practices suggested by the ISDA documentation without assuming restrictive...

The main result of this paper is a collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debit valuation adjustments (CVA, DVA) along with margining and funding costs, all in a consistent way. Funding risk breaks the...

In this paper we describe how to include funding and margining costs into a risk-neutral pricing framework for counterparty credit risk. We consider realistic settings and we include in our models the common market practices suggested by the ISDA documentation without assuming restrictive...