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q-fin.PR2012★ 1 cited
Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
Damiano Brigo, Cristin Buescu, Andrea Pallavicini +1
We illustrate a problem in the self-financing condition used in the papers "Funding beyond discounting: collateral agreements and derivatives pricing" (Risk Magazine, February 2010…
q-fin.PR2010★ 2 cited
Interest-Rate Modeling with Multiple Yield Curves
Andrea Pallavicini, Marco Tarenghi
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A…