英文标题：
《Funding, repo and credit inclusive valuation as modified option pricing》
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作者：
Damiano Brigo, Cristin Buescu, Marek Rutkowski
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最新提交年份：
2017
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英文摘要：
We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear mathematical problem features semilinear PDEs and FBSDEs. We show that for the benchmark vulnerable claim there is an analytical solution, and we express it in terms of the Black-Scholes formula with dividends. This allows for a detailed valuation analysis, stress testing and risk analysis via sensitivities.
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中文摘要：
我们采用整体方法计算OTC索赔价值，将信贷和融资流动性风险及其相互作用纳入其中，而不是强制进行个别价格调整：CVA、DVA、FVA、KVA。由此产生的非线性数学问题的特点是半线性偏微分方程和FBSDE。我们证明了对于基准脆弱索赔有一个解析解，并用带红利的Black-Scholes公式表示。这允许通过敏感性进行详细的估值分析、压力测试和风险分析。
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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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