Funding strategies, funding costs

Christoph Burgard and Mats Kjaer
29 Nov 2013

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Incorporating the effects of funding derivatives into their pricing has become a hot topic in the past couple of years. Following on from earlier work by Piterbarg (2010), our last paper in Risk (Burgard & Kjaer, 2011b) established how funding costs, funding benefits and counterparty risk could be treated within one framework extending the approach of Black-Scholes-Merton. This showed that if a derivative’s issuer is able to perfectly hedge the risk of its own default, the only adjustment to the

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