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pro vyhledávání: '"Primary 91g30"'
We study the problem of valuing and hedging a vulnerable derivative claim with bilateral cash flows between two counterparties in the presence of asymmetric funding costs, defaults and wrong way risk (WWR). We characterize the pre-default claim value
Externí odkaz:
http://arxiv.org/abs/2308.10568
Autor:
Gnoatto, Alessandro
Publikováno v:
International Journal on Theoretical and Applied Finance (15)08, 2012
We consider a short rate model, driven by a stochastic process on the cone of positive semidefinite matrices. We derive sufficient conditions ensuring that the model replicates normal, inverse or humped yield curves.
Externí odkaz:
http://arxiv.org/abs/1203.5513
Publikováno v:
Scientific African, Vol 12, Iss , Pp e00803- (2021)
This article studies a cost project problem identified here as the Moon project with mathematical laws. The Moon project is a program cost project regulated by certain constraints with principal variable N∈Z that survives on project h∈H only if i
Externí odkaz:
https://doaj.org/article/f7784952557c432293044dd79d16f43e
Publikováno v:
Scientific African, Vol 12, Iss, Pp e00803-(2021)
This article studies a cost project problem identified here as the Moon project with mathematical laws. The Moon project is a program cost project regulated by certain constraints with principal variable N ∈ Z that survives on project h ∈ H only
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3e5979ed7d9cec033aab65815336fc56
http://www.sciencedirect.com/science/article/pii/S2468227621001071
http://www.sciencedirect.com/science/article/pii/S2468227621001071
Autor:
Alessandro Gnoatto
Publikováno v:
International Journal of Theoretical and Applied Finance. 15:1250056
We consider a short rate model, driven by a stochastic process on the cone of positive semidefinite matrices. We derive sufficient conditions ensuring that the model replicates normal, inverse or humped yield curves.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::983016799e00d703f3c9fcfd0b0b3ab8
https://doi.org/10.1142/s0219024912500562
https://doi.org/10.1142/s0219024912500562