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~person:"Crépey, Stéphane"
~subject:"Theory"
~subject:"backward stochastic differential equation (BSDE)"
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backward stochastic differential equation (BSDE)
Credit risk
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Derivat
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3
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backward stochastic differential equation
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counterparty risk
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funding costs
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Crépey, Stéphane
Kohlmann, Michael
7
Alfarano, Simone
4
Milaković, Mishael
4
Tang, Shanjian
4
Mundt, Philipp
3
Zhang, Yumo
3
Bhar, Ramaprasad
2
Birkner, Matthias
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Boetius, Frederik
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Chan, Kung-sik
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Chiarella, Carl
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Jeanblanc, Monique
2
Kraft, Holger
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Kromer, Eduard
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Kurbanmuradov, O.
2
Leitner, Johannes
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Overbeck, Ludger
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Runggaldier, Wolfgang J.
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Sabelfeld, K.
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2
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Seifried, Frank Thomas
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Su, Fei
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Wei, Jiaqin
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Wälde, Klaus
2
Xing, Hao
2
Alia, Ishak
1
Anand, Adarsh
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Baumann, Michael
1
Brigo, Damiano
1
CRÉPEY, STÉPHANE
1
Callen, Jeffrey L.
1
Chambers, Marcus J.
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Chen, Yi
1
Chen, Zengjing
1
Chighoub, Farid
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Mathematical finance : an international journal of mathematics, statistics and financial theory
2
International journal of theoretical and applied finance
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ECONIS (ZBW)
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Bilateral counterparty risk under funding constraints - part II : CVA
Crépey, Stéphane
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10011347256
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2
Bilateral counterparty risk under funding constraints - part I : pricing
Crépey, Stéphane
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011347260
Saved in:
3
Counterparty risk and funding : the four wings of the TVA
Crépey, Stéphane
;
Gerboud, Rémi
;
Grbac, Zorana
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009748728
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