Add to ORKGA simple and fundamental question in derivatives pricing is the way (contingent) cash-flows should be discounted. As cash can not be invested at Libor the curve is probably not the right discounting curve, even for Libor derivatives. The impact on derivative pricing of changing the discounting curve is discussed. The pricing formulas for vanilla products are revisited in the funding framework described
In this study we analyse relationship between classical approach to valuation of linear interest rat...
This article presents a generic model for pricing financial derivatives subject to counterparty cred...
Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., whe...
A simple and fundamental question in derivatives pricing is the way (contingent) cash-flows should b...
Abstract. A simple and fundamental question in derivatives pricing is the way (contingent) cash-flow...
As a byproduct of the 2007-2008 credit crunch, derivatives pricing and risk management are experienc...
The paper reviews origins of the approach to pricing derivatives post-crisis by following three pape...
We present a quantitative study of the markets and models evolution across the credit crunch crisis....
In this paper, valuation of a derivative partially collateralized in a specific foreign currency def...
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivative...
Financial derivatives are financial instruments which enable investor or a debtor to optimize his/he...
Since the 2008 crisis collateralized derivatives have become commonplace in the market. There have b...
In this article we discuss the fundamentals of pricing of the popular financial instruments. The bas...
This note considers the valuation of assets and liabilities on a balance sheet with liquidity risk. ...
Overnight index swaps (OIS) curves became the market standard for discounting collateralized cashflo...
In this study we analyse relationship between classical approach to valuation of linear interest rat...
This article presents a generic model for pricing financial derivatives subject to counterparty cred...
Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., whe...
A simple and fundamental question in derivatives pricing is the way (contingent) cash-flows should b...
Abstract. A simple and fundamental question in derivatives pricing is the way (contingent) cash-flow...
As a byproduct of the 2007-2008 credit crunch, derivatives pricing and risk management are experienc...
The paper reviews origins of the approach to pricing derivatives post-crisis by following three pape...
We present a quantitative study of the markets and models evolution across the credit crunch crisis....
In this paper, valuation of a derivative partially collateralized in a specific foreign currency def...
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivative...
Financial derivatives are financial instruments which enable investor or a debtor to optimize his/he...
Since the 2008 crisis collateralized derivatives have become commonplace in the market. There have b...
In this article we discuss the fundamentals of pricing of the popular financial instruments. The bas...
This note considers the valuation of assets and liabilities on a balance sheet with liquidity risk. ...
Overnight index swaps (OIS) curves became the market standard for discounting collateralized cashflo...
In this study we analyse relationship between classical approach to valuation of linear interest rat...
This article presents a generic model for pricing financial derivatives subject to counterparty cred...
Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., whe...