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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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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
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Cluster-based extension of the generalized poisson loss dynamics and consistency with single names
Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 607-631
Persistent link: https://www.econbiz.de/10003503347
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A note on the self-financing condition for funding, collateral and discounting
Brigo, Damiano; Buescu, Cristin; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10011403214
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Derivative pricing with collateralization and FX market dislocations
Moreni, Nicola; Pallavicini, Andrea - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-27
Persistent link: https://www.econbiz.de/10011734332
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Smile modeling in commodity markets
Nastasi, Emanuele; Pallavicini, Andrea; Sartorelli, Giulio - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012271006