38 citations · 41 across the 4 of their papers we have counts for
4 papers
Credit Value Adjustment for Counterparties with Illiquid CDS
Ola Hammarlid, Marta Leniec
Credit Value Adjustment (CVA) is the difference between the value of the default-free and credit-risky derivative portfolio, which can be regarded as the cost of the credit hedge.…
Net Stable Funding Ratio: Impact on Funding Value Adjustment
Medya Siadat, Ola Hammarlid
In this paper we investigate the relationship between Funding Value Adjustment (FVA) and Net Stable Funding Ratio (NSFR). FVA is defined in a consistent way with NSFR such that the…
Growth Optimal Investment and Pricing of Derivatives
Erik Aurell, Roberto Baviera, Ola Hammarlid +2
We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why the…
A general methodology to price and hedge derivatives in incomplete markets
E. Aurell, R. Baviera, O. Hammarlid +2
We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle. Th…