Funding beyond discounting: collateral agreements and derivatives pricing

abacus

Standard derivatives pricing theory (see, for example, Hull, 2006) relies on the assumption that one can borrow and lend at a unique risk-free rate. The realities of being a derivatives desk are, however, rather different these days, as historically stable relationships between bank funding rates, government rates, Libor rates, etc, have broken down.

Click on the link below to read the full version of this article.

Funding beyond discounting: collateral agreements and derivatives pricing

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: