An overview of the valuation of collateralized derivative contracts

DOI10.1007/s11147-014-9098-8zbMath1300.91050OpenAlexW1978546215MaRDI QIDQ475330

Joe Bonnaud, Philippe Amzelek, Jean-Paul Laurent

Publication date: 26 November 2014

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-014-9098-8

zbMATH Keywords

BSDECCP swaps reposOIS haircuts

Mathematics Subject Classification ID

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

Related Items (5)

A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates ⋮ Iterative Improvement of Lower and Upper Bounds for Backward SDEs ⋮ On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations ⋮ Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations

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