3 papers
q-fin.RM2014
A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding
Giovanni Mottola
The present work studies and analyzes general defaultable OTC contract in presence of a contingent CSA, which is a theoretical counterparty risk mitigation mechanism of switching t…
q-fin.PR2014
Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA
Giovanni Mottola
In this work we study the price-hedge issue for general defaultable contracts characterized by the presence of a contingent CSA of switching type. This is a contingent risk mitigat…
q-fin.MF2014
Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA
Giovanni Mottola
We study the solution's existence for a generalized Dynkin game of switching type which is shown to be the natural representation for general defaultable OTC contract with continge…