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ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
| File | Description | Size | Format | |
|---|---|---|---|---|
 Mathematical Finance_24_1_2014.pdf | Accepted version | 817.88 kB | Adobe PDF | View/Open |
| Title: | ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS |
| Authors: | Brigo, D Capponi, A Pallavicini, A |
| Item Type: | Journal Article |
| Issue Date: | 1-Jan-2014 |
| URI: | http://hdl.handle.net/10044/1/18325 |
| DOI: | http://dx.doi.org/10.1111/j.1467-9965.2012.00520.x |
| ISSN: | 0960-1627 |
| Publisher: | Wiley |
| Start Page: | 1252146 |
| Journal / Book Title: | Mathematical Finance |
| Volume: | 24 |
| Issue: | 1 |
| Copyright Statement: | © 2012 Wiley Periodicals, Inc. This is the peer reviewed version of the following article: Brigo, D., Capponi, A. and Pallavicini, A. (2014), ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS. Mathematical Finance, 24: 125–146, which has been published in final form at http://dx.doi.org/10.1111/j.1467-9965.2012.00520.x. This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving. |
| Publication Status: | Accepted |
| Publisher URL: | http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9965.2012.00520.x/abstract |
| Appears in Collections: | Financial Mathematics |