Open AccessDerivatives Pricing Under Bilateral Counterparty Risk
Author(s) -
Peter Carr,
Samim Ghamami
Publication year - 2015
Publication title -
finance and economics discussion series
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2015.026
Subject(s) - counterparty , valuation (finance) , probabilistic logic , credit risk , credit valuation adjustment , semimartingale , mathematical economics , mathematics , econometrics , mathematical optimization , actuarial science , economics , finance , statistics , credit reference