A Note on Discounting and Funding Value Adjustments for Derivatives
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- Michael Johannes & Suresh Sundaresan, 2007. "The Impact of Collateralization on Swap Rates," Journal of Finance, American Finance Association, vol. 62(1), pages 383-410, February.
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More about this item
Keywords
CSA; collateral; foreign collateral; derivative pricing; hedging; martingale pricing; FVA; funding cost; funding and discounting;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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