Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates

DOI10.1007/978-3-319-18239-1_5zbMath1409.91244OpenAlexW2284383968MaRDI QIDQ3464672

Fabio Mercurio

Publication date: 27 January 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-18239-1_5

zbMATH Keywords

derivativesBlack-Scholesbinomial modelcollateralizationdifferential ratesfunding, nonlinear pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION ⋮ A BSDE approach to fair bilateral pricing under endogenous collateralization ⋮ Probabilistic error analysis for some approximation schemes to optimal control problems ⋮ American options in nonlinear markets ⋮ Portfolio optimization of credit swap under funding costs ⋮ Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations

Cites Work

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• An overview of the valuation of collateralized derivative contracts
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• Backward Stochastic Differential Equations in Finance
• Contingent claim valuation in a market with different interest rates
• Pricing and hedging derivative securities in markets with uncertain volatilities
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
• Derivative pricing under asymmetric and imperfect collateralization and CVA
• Option pricing: A simplified approach

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