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20082026
most citedStochastic filtering via L2 projection on mixture manifolds with computer algorithms and numerical examples

26 citations · 157 across the 57 of their papers we have counts for

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Showing 2018 · q-fin.PRShow all

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q-fin.PR2018

Risk-neutral valuation under differential funding costs, defaults and collateralization

Damiano Brigo, Cristin Buescu, Marco Francischello +2

We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has…