2 papers
q-fin.PR2014
A Bond Consistent Derivative Fair Value
Johan Gunnesson, Alberto Fernández Muñoz de Morales
In this paper we present a rigorously motivated pricing equation for derivatives, including general cash collateralization schemes, which is consistent with quoted market bond pric…
q-fin.PR2014
Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging
Johan Gunnesson, Alberto Fernández Muñoz de Morales
The inclusion of DVA in the fair-value of derivative transactions has now become standard accounting practice in most parts of the world. Furthermore, some sophisticated banks are…