A New Model for Pricing Collateralized Financial Derivatives
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References listed on IDEAS
- Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2006.
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More about this item
Keywordscollateralization; asset pricing; plumbing of financial system; swap premium spread; CVA;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2018-07-16 (Risk Management)
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