FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION

DOI10.1142/S021902491550048XzbMath1337.91109MaRDI QIDQ3460683

Marek Rutkowski, Tianyang Nie

Publication date: 8 January 2016

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

zbMATH Keywords

hedgingBSDElending rateborrowing ratemargin agreementfair prices

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs ⋮ A BSDE approach to fair bilateral pricing under endogenous collateralization ⋮ Valuation and Hedging of Contracts with Funding Costs and Collateralization ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ American options in nonlinear markets ⋮ Arbitrage-free pricing of derivatives in nonlinear market models

Cites Work

• A BSDE approach to fair bilateral pricing under endogenous collateralization
• Valuation and Hedging of Contracts with Funding Costs and Collateralization
• Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates
• Arbitrage‐free XVA
• Fair bilateral pricing under funding costs and exogenous collateralization
• PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK

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