A BSDE approach to fair bilateral pricing under endogenous collateralization

DOI10.1007/s00780-016-0306-2zbMath1380.91133arXiv1412.2453OpenAlexW1585255789MaRDI QIDQ331356

Marek Rutkowski, Tianyang Nie

Publication date: 27 October 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.2453

zbMATH Keywords

comparison theoremarbitrage-free conditionsbackward stochastic viability propertybilateral pricingendogenous collateralizationidiosyncratic funding costs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs ⋮ FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION ⋮ Valuation and Hedging of Contracts with Funding Costs and Collateralization ⋮ Binary funding impacts in derivative valuation ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects ⋮ American options in nonlinear markets ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements ⋮ Pathwise Dynamic Programming

Cites Work

• On a problem of Girsanov
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• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
• On the pricing of contingent claims under constraints
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• On the comparison theorem for multidimensional BSDEs
• Valuation and Hedging of Contracts with Funding Costs and Collateralization
• SUPERHEDGING IN ILLIQUID MARKETS
• FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION
• Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates
• Backward Stochastic Differential Equations Driven By Càdlàg Martingales
• Backward Stochastic Differential Equations in Finance
• Arbitrage‐free XVA
• Fair bilateral pricing under funding costs and exogenous collateralization
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
• PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK

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