A Note On The Self-Financing Condition For Funding, Collateral And Discounting
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DOI: 10.1142/S0219024915500119
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References listed on IDEAS
- Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi, 2010. "Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management-," CIRJE F-Series CIRJE-F-743, CIRJE, Faculty of Economics, University of Tokyo.
- Tomasz R. Bielecki & Marek Rutkowski, 2014. "Valuation and Hedging of Contracts with Funding Costs and Collateralization," Papers 1405.4079, arXiv.org, revised Dec 2014.
- Masaaki Fujii & Akihiko Takahashi, 2010. "Choice of Collateral Currency," CARF F-Series CARF-F-239, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
- Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi, 2010. "Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management-," CARF F-Series CARF-F-216, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Masaaki Fujii & Akihiko Takahashi, 2010. "Choice of Collateral Currency," CIRJE F-Series CIRJE-F-778, CIRJE, Faculty of Economics, University of Tokyo.
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Cited by:
- Alessandro Gnoatto & Nicole Seiffert, 2020.
"Cross Currency Valuation and Hedging in the Multiple Curve Framework,"
Papers
2001.11012, arXiv.org, revised Mar 2021.
- Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Working Papers 03/2020, University of Verona, Department of Economics.
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Keywords
Cost of funding; funding and discounting; self-financing strategy; trading strategies; derivative hedging;All these keywords.
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