Qing Liu

Imperial College London-Department of Mathematics

South Kensington Campus,Imperial College

LONDON, SW7 2AZ

United Kingdom

  • Imperial College London-Department of Mathematics

SCHOLARLY PAPERS

3

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5

CROSSREF CITATIONS

16

Scholarly Papers (3)

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1.

Nonlinear Valuation Under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes

Veronesi, P. (Editor), Handbook in Fixed-Income Securities, Wiley, 2014
Number of pages: 28 Posted: 29 Apr 2014
Damiano Brigo, Qing Liu, Andrea Pallavicini and David Sloth
Imperial College London - Department of Mathematics, Imperial College London-Department of Mathematics, Intesa Sanpaolo and Danske Bank - Danske Markets
Downloads 535 (79,227)
Citation 1

Abstract:

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Credit Valuation Adjustment, Counterparty Credit Risk, Funding Valuation Adjustment, Funding Costs, Collateralization, Non-linearity Valuation Adjustment, Derivatives Pricing, CVA, DVA, LVA, FVA, NVA, Funding-DVA, semi-linear PDE, BSDE, Nonlinear Valuation, Nonlinear Feynman-Kac, Least-squares Monte

2.

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
Damiano Brigo, Cristin Buescu, Andrea Pallavicini and Qing Liu
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Intesa Sanpaolo and Imperial College London-Department of Mathematics
Downloads 449 (97,897)
Citation 17

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

3.

No-Arbitrage Bounds for the Forward Smile Given Marginals

Number of pages: 20 Posted: 28 Mar 2016 Last Revised: 07 Oct 2016
Sergey Badikov, Antoine (Jack) Jacquier, Qing Liu and Patrick Roome
Imperial College London, Imperial College London, Imperial College London-Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 53 (556,718)
Citation 2

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Optimal transport, forward smile, linear programme