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Analytical valuation of vulnerable derivative claims with bilateral ca

Publication: Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk. Published Aug 21, 2023.

arxiv.orgPublished Aug 21, 2023
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Overview

Publication: Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk. Published Aug 21, 2023.

Publication information

Publication title
Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk
Authors
Juan Jose Francisco Miguelez, Cristin Buescu
Published
Aug 21, 2023
Last publication revision
Mar 24, 2024
Subject areas
q-fin.PR, q-fin.MF
Publication source
arxiv.org · abs/2308.10568v3 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2308.10568 ↗

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github.com

the official implementation of the paper “Re(visiting) Time Series Foundation Models in Finance”.

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Language
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Code license
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