Tianyang Nie

Shandong University

27 Shanda Nanlu

South Rd.

Jinan, 250100

China

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Fair Bilateral Pricing Under Funding Costs and Exogenous Collateralization

Mathematical Finance, Vol. 28, Issue 2, pp. 621-655, 2018
Number of pages: 35 Posted: 16 Mar 2018
Tianyang Nie and Marek Rutkowski
Shandong University and The University of Sydney - School of Mathematics and Statistics
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Abstract:

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BSDE, collateral, fair pricing, funding costs, hedging, PDE