53 citations · 122 across the 24 of their papers we have counts for
Showing 2013 · q-fin.PRShow all
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q-fin.PR2013
CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions
Cyril Durand, Marek Rutkowski
We depart from the usual methods for pricing contracts with the counterparty credit risk found in most of the existing literature. In effect, typically, these models do not account…
q-fin.PR2013★ 7 cited
Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1
Tomasz R. Bielecki, Marek Rutkowski
The research presented in this work is motivated by some recent papers regarding hedging and valuation of financial securities subject to funding costs, collateralization and count…