Differential rates, differential prices

Differential rates, differential prices

abstractarchitecture

Collateralisation has a direct impact on the valuation of derivatives. They become similar in spirit to futures, where marking-to-market and settlement occurs daily and not just at the contract’s maturity. Derivatives are marked-to-market, and may have collateral calls, daily. Therefore, classic risk-neutral pricing needs to be revised to take into account collateral features and posting frequency. The move to put a greater proportion of over-the-counter derivatives on to central clearing makes

To continue reading...

You must be signed in to use this feature.

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 indvidual account here: