Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates

Springer Proceedings in Mathematics & Statistics - Actuarial Sciences and Quantitative Finance ◽

10.1007/978-3-319-18239-1_5 ◽

2015 ◽

pp. 65-95 ◽

Author(s):

Fabio Mercurio

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