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

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 …

This paper discusses the notion of martingale measures in the context of the pricing and hedging of perfectly … 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 …

We analyse the most common market instruments to manage and optimise collateral allocation: the repo, the sell/buy back …

framework addresses common market practices of ISDA governed deals without restrictive assumptions on collateral margin payments … detail in Brigo and Pallavicini (2014). In particular, we allow for asymmetric collateral and funding rates, replacement …

pushed the industry to use collateral in order to reduce the risk. In this new world, we want to see how this new … considerations affect the theory related to the Partial Differential Equation (PDE) pricing methodology. First, we consider a … Post Lehman Theory.We establish different PDE forms dependent of the treasury management strategy and also retrieve …