In this paper, we derive a forward analytical formula for computing the expected exposure of financial derivatives. Under general assumptions about the underlying diffusion process, we give a convenient decomposition of the exposure into two terms: The first term is an intrinsic value part which...

We address in this paper new developments in pricing derivatives within a default event. Based on stochastic expansion arguments, the pricing is made under a generic stochastic model for the default intensity. The derivative's price is expressed through a deterministic proxy for the default...

This work presents a review of modeling techniques for pricing in incomplete markets and managing liquidity costs. We go through a variety of financial models and mathematical aspects related to market liquidity. We present in Chapter 1 the temporary liquidity modeling proposed by Çetin, Jarrow...