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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
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Optimal trade execution under displaced diffusions dynamics across different risk criteria
Brigo, Damiano
;
Di Graziano, Giuseppe
- In:
Journal of financial engineering
1
(
2014
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10010508077
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