Cristin Buescu

King's College London, Department of Mathematics

Strand

London , WC2R 2LS

United Kingdom

SCHOLARLY PAPERS

5

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848

SSRN CITATIONS
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Top 25,403

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2

CROSSREF CITATIONS

26

Scholarly Papers (5)

1.

Illustrating a Problem in the Self-Financing Condition in Two 2010-2011 Papers on Funding, Collateral and Discounting

Number of pages: 8 Posted: 10 Jul 2012 Last Revised: 17 Jul 2012
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Banca IMI and Imperial College London-Department of Mathematics
Downloads 351 (86,829)
Citation 15

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Funding cost, cost of funding, funding and discounting, self-financing strategy, trading strategies, hedging

2.

Impact of the First to Default Time on Bilateral CVA

Number of pages: 14 Posted: 21 Jun 2011
Damiano Brigo, Cristin Buescu and Massimo Morini
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics and Banca IMI
Downloads 252 (124,240)
Citation 14

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Credit Valuation Adjustment, Unilateral CVA, Bilateral CVA, Simplified Bilateral CVA, Debit Valuation Adjustment, Closeout, Equity Forward Contract, Zero coupon bond, Bivariate exponential distributions, Gumbel bivariate exponential distributions

3.

Funding, Repo and Credit Inclusion in Option Pricing via Dividends

Number of pages: 13 Posted: 20 Feb 2016
Damiano Brigo, Cristin Buescu and Marek Rutkowski
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics and The University of Sydney - School of Mathematics and Statistics
Downloads 152 (197,936)

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Hedging, funding costs, counterparty risk, credit risk, re-purchase agreement, repo market, valuation adjustments, dividends

4.

Risk-Neutral Valuation Under Differential Funding Costs, Defaults and Collateralization

Number of pages: 33 Posted: 07 Mar 2018
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Imperial College Business School, Banca IMI and The University of Sydney - School of Mathematics and Statistics
Downloads 85 (301,120)
Citation 4

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risk-neutral valuation, replication, funding costs, default, collateral

5.

A Note on the Effects of Taxes on Optimal Investment

Mathematical Finance, Vol. 17, No. 4, pp. 477-485, October 2007
Number of pages: 10 Posted: 14 Sep 2007
Cristin Buescu, Abel Cadenillas and Stanley R. Pliska
King's College London, Department of Mathematics, University of Alberta - Department of Mathematical and Statistical Sciences and University of Illinois at Chicago - Department of Finance
Downloads 8 (609,359)
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