Including funding costs and benefits in derivatives prices is a controversial topic, closely tied up with the credit and debit valuation adjustments of counterparty risk. But new research suggests that, even with no default risk, differences in the levels...
Top Bank of America quant, Alex Lipton, says subject still needs overhaul
First OTC derivatives research award will be given in February 2014
Robust hedging of withdrawal guarantees
By: Nigel Da Costa Lewis