Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk

Fuente: arXiv

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Bibliographic Details
Main Authors:	Miguelez, Juan Jose Francisco, Buescu, Cristin
Format:	Preprint
Published:	2023
Subjects:	Pricing of Securities Mathematical Finance 91G20 (Primary), 91G30
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2308.10568