FIXING RISK NEUTRAL RISK MEASURES

DOI10.1142/S0219024916500217zbMath1403.91365OpenAlexW3124040669MaRDI QIDQ2806368

Harvey J. Stein

Publication date: 17 May 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500217

zbMATH Keywords

option pricingriskrisk neutral measureexpected exposures (EE), credit valuation adjustment (CVA)exposure calculationpotential future exposures (PFE)real world measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82) Credit risk (91G40)

Related Items (3)

A multi-curve HJM factor model for pricing and risk management ⋮ A Structural Approach to Default Modelling with Pure Jump Processes ⋮ Speed-up credit exposure calculations for pricing and risk management

Cites Work

• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

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