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~person:"Brigo, Damiano"
~subject:"gap risk"
~subject:"Counterparty risk"
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gap risk
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Brigo, Damiano
Pallavicini, Andrea
2
Acharya, Viral V.
1
Albanese, Claudio
1
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1
Bielecki, Tomasz R.
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International journal of theoretical and applied finance
2
Journal of financial engineering
1
Operations research letters
1
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ECONIS (ZBW)
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Funding, repo and credit inclusive valuation as modified option pricing
Brigo, Damiano
;
Buescu, C.
;
Rutkowski, Marek
- In:
Operations research letters
45
(
2017
)
6
,
pp. 665-670
Persistent link: https://www.econbiz.de/10011783094
Saved in:
2
Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
Brigo, Damiano
;
Pallavicini, Andrea
- In:
Journal of financial engineering
1
(
2014
)
1
,
pp. 1-60
Persistent link: https://www.econbiz.de/10010508128
Saved in:
3
Restructuring counterparty credit risk
Albanese, Claudio
;
Brigo, Damiano
;
Oertel, Frank
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748714
Saved in:
4
Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
Saved in:
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