摘要翻译：
本文的研究是由最近一些关于金融证券的套期保值和估值的论文所推动的，这些论文涉及融资成本、担保和交易对手信用风险。我们的目标是通过发展一个统一的鞅框架，为场外金融合约套期保值和定价的非线性方法提供一个坚实的理论基矗研究了不同融资基础和保证金契约对场外交易合约价值和套期保值策略的影响。
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英文标题：
《Valuation and hedging of OTC contracts with funding costs,
collateralization and counterparty credit risk: Part 1》
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作者：
Tomasz R. Bielecki and Marek Rutkowski
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
The research presented in this work is motivated by some recent papers regarding hedging and valuation of financial securities subject to funding costs, collateralization and counterparty credit risk. Our goal is to provide a sound theoretical underpinning for some results presented in these papers by developing a unified martingale framework for the non-linear approach to hedging and pricing of OTC financial contracts. The impact that various funding bases and margin covenants exert on the values and hedging strategies for OTC contracts is examined.
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