Bilateral counterparty risk under funding constraints - part I : pricing

Stephane Crepey

Year of publication:	2015
Authors:	Crépey, Stéphane
Published in:	Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 1, p. 1-22
Subject:	counterparty risk \| funding costs \| nonlinear pricing and hedging \| arbitrage \| backward stochastic differential equation \| Hedging \| Derivat \| Derivative \| Kreditrisiko \| Credit risk \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Arbitrage

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