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Financial system / Actuarial science / Financial markets / Futures contract / Risk-neutral measure / Derivative / Credit risk / Arbitrage / Forward contract / Financial economics / Mathematical finance / Finance


Derivatives Pricing under Bilateral Counterparty Risk
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Document Date: 2015-05-01 11:56:51

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City

Washington / /

Company

Morgan Stanley / Economics Discussion Series / /

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Facility

Courant Institute / University of California / New York University’s Courant Institute of Mathematical Sciences / New York University / /

IndustryTerm

bank regulators / closedform solution / finance practitioners / closed-form solution / /

Organization

See Chapter / University of California / Berkeley / Stanford University Center of Financial and Risk Analytics / Federal Reserve Board / New York University / New York University’s Courant Institute of Mathematical Sciences / Board of Governors of the Federal Reserve System / UC Berkeley Center for Risk Management Research / Board of Governors / Courant Institute / /

Person

Canabarro / Lisa Goldberg / Robert Anderson / Kay Giesecke / Huang / Duffie / Darrell Duffie / /

Position

stochastic short interest rate rt / author / broker-dealer / Rt / hB / dealer / /

ProvinceOrState

California / /

URL

http /

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