Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
type: Item
instance of: scholarly article
title: Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
zbMATH Open document ID: 1406.91468
author: Damiano Brigo
author: Marco Francischello
author: Andrea Pallavicini
published in: European Journal of Operational Research
publication date: 2018-12-18T00:00:00Z
full work available at URL: http://hdl.handle.net/10044/1/64598
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6994597
zbMATH Keywords: pricing
zbMATH Keywords: valuation adjustments
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: funding costs
zbMATH Keywords: nonlinear valuation
MaRDI profile type: Publication
OpenAlex ID: W2898745333
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Wikidata QID: Q129001868
DOI: 10.1016/J.EJOR.2018.10.046
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description: scientific article; zbMATH DE number 6994597