Marco Francischello

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

516

SSRN CITATIONS
Rank 41,957

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Top 41,957

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Scholarly Papers (4)

1.

Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization

Number of pages: 28 Posted: 31 Jul 2015 Last Revised: 14 Sep 2015
University of Bologna - Department of Mathematics, Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Banca IMI
Downloads 224 (136,388)

Abstract:

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Yield Curve Dynamics, Multiple Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Counterparty Credit Risk, Liquidity Risk, Funding Costs, Collateral Modeling, Overnight Rates

2.

Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs

Number of pages: 13 Posted: 02 Jun 2015 Last Revised: 28 Nov 2015
Damiano Brigo, Marco Francischello and Andrea Pallavicini
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Banca IMI
Downloads 177 (169,757)
Citation 6

Abstract:

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Counterparty Credit Risk, Funding Valuation Adjustment, Funding Costs, Collateralization, Non-linearity Valuation Adjustment, Nonlinear Valuation, Derivatives Valuation, semi-linear PDE, FBSDE, BSDE, Existence and Uniqueness of solutions, Viscosity Solutions

3.

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 London - Department of Mathematics, Banca IMI and The University of Sydney - School of Mathematics and Statistics
Downloads 80 (305,182)
Citation 3

Abstract:

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

4.

An Indifference Approach to the Cost of Capital Constraints: KVA and Beyond

Number of pages: 15 Posted: 21 Aug 2017
Damiano Brigo, Marco Francischello and Andrea Pallavicini
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Banca IMI
Downloads 35 (445,055)
Citation 3

Abstract:

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KVA, Capital Constraints, Indifference Pricing, RAROC