Imperial College London

ProfessorDamianoBrigo

Faculty of Natural SciencesDepartment of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Brigo:2017:10.1016/j.orl.2017.10.009,
author = {Brigo, D and Buescu, C and Rutkowski, M},
doi = {10.1016/j.orl.2017.10.009},
journal = {Operations Research Letters},
pages = {665--670},
title = {Funding, repo and credit inclusive valuation as modified option pricing},
url = {http://dx.doi.org/10.1016/j.orl.2017.10.009},
volume = {45},
year = {2017}
}

RIS format (EndNote, RefMan)

TY  - JOUR
AB - We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear mathematical problem features semilinear PDEs and FBSDEs. We show that for the benchmark vulnerable claim there is an analytical solution, and we express it in terms of the Black–Scholes formula with dividends. This allows for a detailed valuation analysis, stress testing and risk analysis via sensitivities.
AU - Brigo,D
AU - Buescu,C
AU - Rutkowski,M
DO - 10.1016/j.orl.2017.10.009
EP - 670
PY - 2017///
SN - 0167-6377
SP - 665
TI - Funding, repo and credit inclusive valuation as modified option pricing
T2 - Operations Research Letters
UR - http://dx.doi.org/10.1016/j.orl.2017.10.009
UR - http://hdl.handle.net/10044/1/51832
VL - 45
ER -