Modelling, Pricing, and Hedging Counterparty Credit Exposure

By G. Cesari, J. Aquilina, Niels Charpillon, Zlatko Filipović, Gordon Lee, I. Manda. 2009

79 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8480da367c9bc50c231ec4bd7e517ef5db8f9297

How researchers see this paper

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In Finance

1. St'ephane Cr'epey
2. Damiano Brigo

Citations in the corpus

• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (2015, methodology): “Early treatments of counterparty risk can be found for instance in Duffie and Huang (1996) or Bielecki and Rutkowski (2002, Chapter 14).”