ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

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Title: ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
Author(s): Brigo, D
Capponi, A
Pallavicini, A
Item Type: Journal Article
Publication 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



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