英文标题：
《FX Modelling in Collateralized Markets: foreign measures, basis curves,
and pricing formulae》
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作者：
Nicola Moreni and Andrea Pallavicini
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最新提交年份：
2015
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英文摘要：
We present a general derivation of the arbitrage-free pricing framework for multiple-currency collateralized products. We include the impact on option pricing of the policy adopted to fund in foreign currency, so that we are able to price contracts with cash flows and/or collateral accounts expressed in foreign currencies inclusive of funding costs originating from dislocations in the FX market. Then, we apply these results to price cross-currency swaps under different market situations, to understand how to implement a feasible curve bootstrap procedure. We present the main practical problems arising from the way the market is quoting liquid instruments: uncertainties about collateral currencies and renotioning features. We discuss the theoretical requirements to implement curve bootstrapping and the approximations usually taken to practically implement the procedure. We also provide numerical examples based on real market data.
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中文摘要：
我们给出了多货币抵押产品无套利定价框架的一般推导。我们将外币融资政策对期权定价的影响包括在内，以便我们能够对以外币表示的现金流和/或抵押品账户的合同进行定价，包括因外汇市场混乱而产生的融资成本。然后，我们将这些结果应用于不同市场情况下的跨货币掉期价格，以了解如何实现可行的曲线引导过程。我们介绍了市场引用流动性工具的方式所产生的主要实际问题：抵押品货币和重新定价特征的不确定性。我们讨论了实现曲线自举的理论要求，以及实际实现过程中通常采用的近似方法。我们还提供了基于真实市场数据的数值例子。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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