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q-fin.PR2015
Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
Giacomo Bormetti, Damiano Brigo, Marco Francischello +1
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework…
q-fin.PR2015
Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs
Damiano Brigo, Marco Francischello, Andrea Pallavicini
We study conditions for existence, uniqueness and invariance of the comprehensive nonlinear valuation equations first introduced in Pallavicini et al (2011). These equations take t…