19 citations · 19 across the 1 of their papers we have counts for
2 papers
q-fin.PR2018
Rational Models for Inflation-Linked Derivatives
Henrik Dam, Andrea Macrina, David Skovmand +1
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price inde…
q-fin.PR2014★ 19 cited
Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
Damiano Brigo, Qing Liu, Andrea Pallavicini +1
We develop an arbitrage-free framework for consistent valuation of derivative trades with collateralization, counterparty credit gap risk, and funding costs, following the approach…