Fair bilateral prices in Bergman's model

Tianyang Nie, Marek Rutkowski

Type: Preprint

Publication Date: 2014-01-01

Citations: 2

DOI: https://doi.org/10.48550/arxiv.1410.0673

View Publication

Locations

arXiv (Cornell University) - View - PDF
DataCite API - View

Similar Works

Action	Title	Year	Authors
+	Fair and profitable bilateral prices under funding costs and collateralization	2014	Tianyang Nie Marek Rutkowski
+	FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION	2015	Tianyang Nie Marek Rutkowski
+	A BSDE approach to fair bilateral pricing under endogenous collateralization	2014	Tianyang Nie Marek Rutkowski
+	BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs	2014	Tianyang Nie Marek Rutkowski
+	Arbitrage-Free Pricing of Game Options in Nonlinear Markets	2018	Tianyang Nie Edward Kim Marek Rutkowski
+	Arbitrage-free pricing of American options in nonlinear markets	2018	Edward Kim Tianyang Nie Marek Rutkowski
+	Arbitrage-free pricing of American options in nonlinear markets	2018	Edward Kim Tianyang Nie Marek Rutkowski
+	A Binary Nature of Funding Impacts in Bilateral Contracts	2017	Junbeom Lee Chao Zhou
+	Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models	2017	Tomasz R. Bielecki Igor Cialenco Marek Rutkowski
+	Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models	2017	Tomasz R. Bielecki Igor Cialenco Marek Rutkowski
+	Valuation and Hedging of Contracts with Funding Costs and Collateralization	2014	Tomasz R. Bielecki Marek Rutkowski
+	Valuation and Hedging of Contracts with Funding Costs and Collateralization	2014	Tomasz R. Bielecki Marek Rutkowski
+ PDF Chat	Arbitrage-free pricing of derivatives in nonlinear market models	2018	Tomasz R. Bielecki Igor Cialenco Marek Rutkowski
+	A Risk-Sharing Framework of Bilateral Contracts	2019	Junbeom Lee Stephan Sturm Chao Zhou
+	A Risk-Sharing Framework of Bilateral Contracts	2019	Junbeom Lee Stephan Sturm Chao Zhou
+	Recovering Linear Equations of XVA in Bilateral Contracts	2017	Junbeom Lee Chao Zhou
+	Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs	2015	Damiano Brigo Marco Francischello Andrea Pallavicini
+	Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs	2015	Damiano Brigo Marco Francischello Andrea Pallavicini
+	Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes	2014	Damiano Brigo Qing Liu Andrea Pallavicini David Sloth
+	Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes	2014	Damiano Brigo Qing Liu Andrea Pallavicini David Sloth

Works That Cite This (2)

Action	Title	Year	Authors
+ PDF Chat	Valuation and Hedging of Contracts with Funding Costs and Collateralization	2015	Tomasz R. Bielecki Marek Rutkowski
+	Valuation and Hedging of Contracts with Funding Costs and Collateralization	2014	Tomasz R. Bielecki Marek Rutkowski

Works Cited by This (5)

Action	Title	Year	Authors
+ PDF Chat	Valuation and Hedging of Contracts with Funding Costs and Collateralization	2015	Tomasz R. Bielecki Marek Rutkowski
+	BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs	2014	Tianyang Nie Marek Rutkowski
+ PDF Chat	Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting	2011	Damiano Brigo Agostino Capponi Andrea Pallavicini Vasileios Papatheodorou
+ PDF Chat	Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments	2012	Andrea Pallavicini Daniele Perini Damiano Brigo
+	Fair and profitable bilateral prices under funding costs and collateralization	2014	Tianyang Nie Marek Rutkowski