Piterbarg Cooking With Collateral Pdf 14

Piterbarg Cooking With Collateral Pdf 14

Dupires formulas in the Piterbarg option pricing . is the probability density function of S T . asset when no collateral is posted under the Piterbarg .

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Valuation and Hedging with Funding Costs and Collateralization 3 In view of the above mentioned complexities, the problem of marking to market and hedging a

Consistent XVA Metrics Part I: Single-currency . collateral rate is given as a xed spread over OIS. . In particular we follow Piterbarg [14] .

200 Bibliography Amblard, . Piterbarg, V. Cooking With Collateral. RISK, 8:5863,2012. . 95ec0d2f82