Counterparty Risk and Funding
A Tale of Two Puzzles
Chapman and Hall/CRC Financial Mathematics Series
Crépey, Stéphane
Bielecki, Tomasz R.
Brigo, Damiano
- 出版社：CRC Press Inc
- 出版年月：2014年 06月
- ISBN：9781466516458
- 装丁：HRD
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装丁について
- 言語：ENG
- 巻数・ページ数：388 p.
- DDC分類：519.2
- 内容紹介：
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The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints.