The research of the author benefited from the support of the “Chaire Risque de crédit,” Fédération Bancaire Française. The author thanks Zorana Grbac, Marek Rutkowski, Tom Bielecki, Giovanni Cesari, Jeroen Kerkhof, Jean-Paul Laurent, and Monique Jeanblanc for their involvement at various levels throughout the preparation of this work.
BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
Version of Record online: 12 DEC 2012
© 2012 Wiley Periodicals, Inc.
Volume 25, Issue 1, pages 1–22, January 2015
How to Cite
Crépey, S. (2015), BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING. Mathematical Finance, 25: 1–22. doi: 10.1111/mafi.12004
- Issue online: 16 JAN 2015
- Version of Record online: 12 DEC 2012
- Manuscript Accepted: APR 2012
- Manuscript Received: JUN 2011
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