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A general framework for the benchmark pricing in a fully collateralized market

Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10011587747

Collateral Convexity of Libor and FX Forwards (Slides)

McCloud, Paul - 2014

Collateral discounting recognises the value of funding for derivatives, which has gained prominence in recent years as … basis spreads have widened in response to the financial crises. This article considers the impact of collateral volatility … expressions are derived for convexity adjustments and collateral options, in a form that easily integrates into curve building and …

Persistent link: https://www.econbiz.de/10013054566

CDO term structure modelling with Lévy processes and the relation to market models

Schmidt, Thorsten; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10009562136

Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels

Gospodinov, Nikolaj; Hirukawa, Masayuki - In: Journal of empirical finance 19 (2012) 4, pp. 595-609

Persistent link: https://www.econbiz.de/10009615659

Pricing with finite dimensional dependence

Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417

Persistent link: https://www.econbiz.de/10011499694

Calibrating a market model to commodity and interest rate risk

Karlsson, Patrik; Pilz, Kay Frederik; Schlögl, Erik - 2016

Persistent link: https://www.econbiz.de/10011778017

Pricing interest rate, dividend, and equity risk

Willems, Sander - 2019

Persistent link: https://www.econbiz.de/10012198741

Asset pricing under general collateralization

Mi, Yanhui - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-23

Persistent link: https://www.econbiz.de/10011777842

Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146

Persistent link: https://www.econbiz.de/10010256178

Affine pricing and hedging of collateralized debt obligations

Eksia, Zehra; Filipović, Damir - 2020

Persistent link: https://www.econbiz.de/10012419633

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