The recent troubles in the financial industry leads market participants to reconsider some strong pricing assumptions such as the completeness of the market (mathematically, there is not only one risk neutral probability, financially speaking all tradable asset can be replicated in different...

After Lehman default (credit crisis 2007), practitioners considered the default risk as a major risk. The regulators 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...

After the default of Lehman Brother, the credit risk became a first concern. Following the Euro crisis, the regulators were pushy for clearing i.e. the market participants were forced via the regulatory capital constraints to go to the exchange or the central clearing house. It was the beginning...

Funding Valuation Adjustment (FVA) has been introduced as the CVA and DVA after the default of Lehman Brother. After the subprime crisis, the basis spread was not negligible anymore, credit and liquidity risk became the first concern. In addition, regulators put in place reforms, which associate...

It was upon a time, the Risk Neutral "pricing" world. Under this world every payoff actualised was a martingale. The industry became more and more complex but still managed to provide prices for exotics, indeed via a Monte Carlo Method almost everything was possible under this measure. After...

After Lehman default (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we defined a methodology in order to fully adjusted the close out premium used to compute...

The rationale behind clearing in financial markets is twofold: clearing houses are aimed at reducing the vulnerability to systemic risks and at changing the allocation of default risk in financial markets and, thus, improve the efficiency of financial markets. This paper mitigates the standard...

After Lehman default (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we try to extend the work of V.Piterbarg who established the fundamental of a new world in...