A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING

DOI10.1142/S0219024915500119zbMath1337.91089OpenAlexW2092944841MaRDI QIDQ5249754

Qing Liu, Cristin Buescu, Damiano Brigo, Andrea Pallavicini

Publication date: 11 May 2015

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

Full work available at URL: https://doi.org/10.1142/s0219024915500119

zbMATH Keywords

trading strategiesself-financing strategycost of fundingderivative hedgingfunding and discounting

Mathematics Subject Classification ID

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

Related Items (1)

Cross Currency Valuation and Hedging in the Multiple Curve Framework

Cites Work

• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
• COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA
• PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Counterparty Credit Risk, Collateral and Funding
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