Massimo Masetti

Royal Bank of Scotland (RBS)

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135 Bishopsgate

London, EC2M 3UR

United Kingdom

Universita di Bergamo

Via Salvecchio, 19

Bergamo, 24129

Italy

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A Formula for Interest Rate Swaps Valuation Under Counterparty Risk in Presence of Netting Agreements

Number of pages: 31 Posted: 09 May 2005
Damiano Brigo and Massimo Masetti
Imperial College London - Department of Mathematics and Royal Bank of Scotland (RBS)
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Citation 7

Abstract:

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Interest Rate Swap, Counterparty Risk Pricing, Netting Agreements, Analytical Tractability, Simulation, Libor Model