5 citations · 10 across the 3 of their papers we have counts for
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q-fin.PR2013
Inflation-rate Derivatives: From Market Model to Foreign Currency Analogy
Lixin Wu
In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the mar…
q-fin.PR2013
CVA and FVA to Derivatives Trades Collateralized by Cash
Lixin Wu
In this article, we combine replication pricing with expectation pricing for derivative trades that are partially collateralized by cash. The derivatives are replicated by underlyi…