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Showing 1 to 1 of 1 for “"Collateral Agreements"”.
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Numerical Solutions to PDE Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs
The purpose of this paper is to present numerical solutions to PDE representations for derivatives pricing including bilateral credit valuation adjustments and funding costs valuation adjustment as presented in Burgard and Kjaer (2011). In particular, we use Crank-Nicolson finite-difference scheme …