This paper studies the valuation of multivariate equity options by determining the joint risk-neutral distribution of the underlying stock prices by means of copulas. In contrast to previous work which concentrates on two underlyings this study considers the general multivariate case. In...

This paper presents a semi-analytical approach for calculating the counterparty exposure of credit derivative contracts conditional on the default of the counterparty, based on a Merton-type asset return model. The approach provides an efficient algorithm for implementing large-scale exposure...

This paper compares a range of alternative approaches to incorporate Initial Margins (IMs) in the modelling of counterparty credit risk exposures. With the rise of Central Counterparties to clear OTC derivatives and the incoming legislation requiring bilateral margining for uncleared derivatives...