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mortgage-backed securities, subprime mortgage, non-agency mortgage, mortgage credit, MBS valuation, ABCDS, ABX calibration, ABS CDO, SF CDO, prepayment correlation, default correlation, troubled asset
Option Pricing, Option Market Making, Funding Costs, Funding Valuation Adjustment (FVA), Black-Scholes PDE, Finite Difference Method
Counterparty risk, CVA, FVA, DVA, Funding Cost, Derivative Financing, coherent CVA and FVA, liability-side pricing, risk-neutral pricing formula
repo haircut model, repo pricing, repo spread, repo formula, repo pricing puzzle.
interest rate swap spread, negative swap spread, funding cost, long term derivatives, Black-Scholes equation, self financing condition.
derivatives pricing, margin and collateralization, riskfree rate, derivatives discounting, derivative financing, valuation adjustments, XVA
initial margin, margin valuation adjustment (MVA), ISDA SIMM, liability-side pricing, coherent CVA and FVA, CME-LCH basis.
Uncollateralized swap, CCP swaps, counterparty risk, liability-side pricing, coherent CVA and FVA, FVA, CVA, swap hedging, swap pricing.
Archegos collapse, dynamic margin, haircut model, long/short trading, prime financing
securities lending, haircut model, borrower default indemnification, cost of indemnification
collateralization, derivatives discounting, derivatives financing, liquidity value adjustment, collateral optimization, XVA
Archegos collapse, haircut model, TRS initial margin, equity financing, prime financing, portfolio margin
haircut, haircut model, non-cash collateral, double-exponential jump-diffusion model
repo pricing, Black-Scholes model, economic capital, hedging error, gap risk, margin period of risk, capital valuation adjustment, KVA
FVA, FVA debate, Law of one price, derivatives accounting, banking book derivatives, derivatives pricing, uncollateralized derivatives.
Counterparty Credit Risk, Credit Valuation Adjustment (CVA), Funding Valuation Adjustment (FVA), Hedging Cost, Funding Cost, Swap and Derivative Financing
CDS-bond basis, negative basis, reduced form model, default risk, hedging error, FVA, KVA
repurchase agreement, securities lending, haircuts, log OU process, Black-Karasinski model, Karhunen-Loeve decomposition, double exponential jump diffusion model
SOFR Term Rate, Treasury Repo Pricing, LIBOR Transition, SOFR Composition
Basel 3, Basel 4, FRTB, derivatives valuation, valuation adjustments (XVA), counterparty credit risk (CCR), credit valuation adjustment (CVA), CVA capital
total return swap, TRS pricing dilemma, funding costs, funding valuation adjustment, liability-side pricing, bond forward
Credit valuation adjustment (CVA), Funding Valuation Adjustment (FVA), cash CVA, synthetic CVA