Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach

Damiano Brigo, Qing Liu, Andrea Pallavicini, David Sloth

Publikation: Bidrag til bog/antologi/rapport › Bidrag til bog/antologi › Forskning › peer review

1 Citationer (Scopus)

Originalsprog	Engelsk
Titel	Handbook of Fixed-Income Securities
Udgivelsessted	USA
Forlag	Wiley
Publikationsdato	2016
Sider	514-538
Kapitel	21
ISBN (Trykt)	978-1-118-70919-1
Status	Udgivet - 2016
Udgivet eksternt	Ja

Citationsformater

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title = "Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach",

author = "Damiano Brigo and Qing Liu and Andrea Pallavicini and David Sloth",

year = "2016",

language = "English",

isbn = "978-1-118-70919-1",

pages = "514--538",

booktitle = "Handbook of Fixed-Income Securities",

publisher = "Wiley",

address = "United States",

}