This note is the result of a discussion following the presentation by M. Jeanblanc, 'The Role of Information'. She referred to the impact of a world of 'extra-informed' market participant. As practitioners, we tend not to pay much attention to this consideration. Indeed, before Lehman defaulted,...

After Lehman default (credit crisis which started in 2007), the industry wakes up within a new world where nobody is to big to fail. Many adjustment have to be made to the old - classic theory. As a result of the market incompleteness, the risk neutral measure became a risk neutral measure. As...

Nowadays, the awakening of consciences pushes many people to redefine "profit": One can benefit economically to shareholders while being harmful to the environment, to the citizens or to the populations living in the locality where a company is established. The purpose of this article is to give...

Following the previous works of Kamtchueng, we explain in more details, how to use the CVA Implied Volatility considering at the same time the netting arbitrage between a derivative and its hedging portfolio. Trough concrete pricing examples, we will demonstrate the advantages and the limitation...

After Lehman default and the Euro Crisis (crisis which started mid-2007), the industry started to consider the funding risk as a major risk. The practitioners began to charge for their funding cost. In this stressed context, the FVA has been the subject of intense debate, even its definition is...