Corso Matteotti 6
20121 Milano, 20100
Via Sarfatti, 25
Milan, MI 20136
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basis swaps, FRA, credit crisis, counterparty risk, multicurve term structure modelling, liquidity
Libor Market Model, swaptions, calibration, cascade calibration
stochastic volatility, SABR, no-arbitrage,libor market model, BGM
hedging, local volatility, stochastic volatility, sabr
funding, liquidity, counterparty risk, DVA, CVA, basis
credit option, subprime, correlation, market models, arbitrage
correlation, stochastic volatility, libor market model
Bilateral Counterparty Risk, Credit Valuation Adjustment, Debit Valuation Adjustment, Closeout, Default Contagion, Bond Pricing, Default Correlation, Co-monotonic Defaults, Collateral Modeling
Credit Default Swaps, Structural Models, Black Cox Model, Calibration, Analytical Tractability, Monte Carlo Simulation, Equity Return Swaps, Counterparty Risk, Barrier Options, Uncertain Credit Quality, Lehman Brothers Default
price stability, Bitcoin, financial intermediaries, monetary policy
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
hedging, correlation, CVA, Credit Value Adjustment, risk-aversion, transaction costs
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credit index options, subfiltrations, credit crunch, default correlation, market models, arbitrage
mva,initial margin, cauchy-schwartz, P and Q
derivatives, hedging, capital, leverage, KVA, CVA, DVA, FVA, XVA, Basel III
Credit Default Swaps, Default Risk, Credit Risk, Intensity Models, Firm Value Models
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