The book's content is focused on rigorous and advanced quantitative methods for the pricing
and hedging of counterparty credit and funding risk. The new general theory that is required …

A thoroughly updated and expanded edition of the xVA challenge The period since the
global financial crisis has seen a major re-appraisal of derivatives valuation, generally …

We develop an arbitrage‐free valuation framework for bilateral counterparty risk, where
collateral is included with possible rehypothecation. We show that the adjustment is given by …

The correction in value of an over‐the‐counter derivative contract due to counterparty risk
under funding constraints is represented as the value of a dividend‐paying option on the …

Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty
Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial …

We introduce the general arbitrage-free valuation framework for counterparty risk
adjustments in presence of bilateral default risk, including default of the investor. We …

We prove simple general formulas for expectations of functions of a L\'evy process and its
running extremum. Under additional conditions, we derive analytical formulas using the …

Ziel dieses Kapitels ist die Anwendung der in den vorangegangenen Kapiteln hergeleiteten
Theorie auf die Bewertung von Kreditderivaten. Die Auswahl der Produkte und deren …

For prices of options with barrier and lookback features, defaultable bonds and credit default
swaps (CDSs), and probability distribution functions in Lévy models, as well as for joint …

In this paper we study the counterparty risk on a payer CDS in a Markov chain model of two
reference credits, the firm underlying the CDS and the protection seller in the CDS. We first …