Bilateral counterparty risk under funding constraints - part I : pricing
Stephane Crepey
| Year of publication: |
2015
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|---|---|
| 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
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011347260