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Funding beyond discounting: collateral agreements and derivatives pricing

Author: Vladimir Piterbarg

Source: Asia Risk | 16 Mar 2010

Categories: Derivatives

Topics: Derivatives

Standard theory assumes traders can lend and borrow at a risk-free rate, ignoring the intricacies of the repo and collateralisation markets. Here, Vladimir...

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Funding beyond discounting: collateral agreements and derivatives pricing

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