A New Model for Pricing Collateralized Financial Derivatives
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DOI: 10.31219/osf.io/fvdzh
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- Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
- Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
- Tim Xiao, 2017. "A New Model for Pricing Collateralized Financial Derivatives," Post-Print hal-01800559, HAL.
References listed on IDEAS
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- Xiao, Tim, 2015. "An Efficient Lattice Algorithm For The Libor Market Model," FrenXiv dxvnw, Center for Open Science.
- Xiao, Tim, 2015. "An Efficient Lattice Algorithm For The Libor Market Model," arabixiv.org fvtxd, Center for Open Science.
- Xiao, Tim, 2015. "An Efficient Lattice Algorithm For The Libor Market Model," SocArXiv qmh9c, Center for Open Science.
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"An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 25(1), pages 84-95.
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- Xiao, Tim, 2015. "An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk," FrenXiv 2rtya, Center for Open Science.
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Citations
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Cited by:
- Xiao, Tim, 2018.
"The Valuation of Credit Default Swap with Counterparty Risk and Collateralization,"
EconStor Preprints
203447, ZBW - Leibniz Information Centre for Economics.
- Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," FrenXiv 6m73z, Center for Open Science.
- Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," SocArXiv 3pzyv, Center for Open Science.
- Tim Xiao, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," Working Papers hal-02174170, HAL.
- Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," arabixiv.org j9hkn, Center for Open Science.
- Xiao,Tim, 2018.
"Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization,"
EconStor Preprints
202075, ZBW - Leibniz Information Centre for Economics.
- Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," SocArXiv 84xjn, Center for Open Science.
- Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," MPRA Paper 94441, University Library of Munich, Germany.
- Tim Xiao, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," Working Papers hal-02024147, HAL.
- Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," arabixiv.org 86xhw, Center for Open Science.
- Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," FrenXiv ej7nz, Center for Open Science.
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More about this item
JEL classification:
- D46 - Microeconomics - - Market Structure, Pricing, and Design - - - Value Theory
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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