Sydney, New South Wales 2006
The University of Sydney - School of Mathematics and Statistics
Hedging, funding costs, counterparty risk, credit risk, re-purchase agreement, repo market, valuation adjustments, dividends
risk-neutral valuation, replication, funding costs, default, collateral
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BSDE, collateral, fair pricing, funding costs, hedging, PDE
forward swap rate, market model, Libor, admissibility
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