Counterparty risk and funding : a tale of two puzzles

Counterparty risk and funding : a tale of two puzzles

Bibliographic Details
Main Authors: Crepey, Stephane (Author), Bielecki, Tomasz R. , 1955- (Author), Brigo, Damiano , 1966- (Author)
Format: Book
Language:English
Published: Boca Raton, Florida : CRC Press, Chapman & Hall , c2014
Subjects:
Credit derivatives > Mathematical models
Credit > Mathematical models
Finance > Mathematical models
Financial risk > Mathematical models
Table of Contents:
  • 1. Financial landscape
  • 2. Model-free developments
  • 3. Reduced-form BSDE modeling
  • 4. Dynamic copula models
  • 5. Further developments
  • 6. Mathematical appendix

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