Qing Liu

Imperial College London-Department of Mathematics

South Kensington Campus,Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

930

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (3)

1.

Nonlinear Valuation Under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes

Veronesi, P. (Editor), Handbook in Fixed-Income Securities, Wiley, 2014
Number of pages: 28 Posted: 29 Apr 2014
Imperial College London - Department of Mathematics, Imperial College London-Department of Mathematics, Banca IMI and Danske Bank - Danske Markets
Downloads 490 (70,449)
Citation 1

Abstract:

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Credit Valuation Adjustment, Counterparty Credit Risk, Funding Valuation Adjustment, Funding Costs, Collateralization, Non-linearity Valuation Adjustment, Derivatives Pricing, CVA, DVA, LVA, FVA, NVA, Funding-DVA, semi-linear PDE, BSDE, Nonlinear Valuation, Nonlinear Feynman-Kac, Least-squares Monte

2.

Illustrating a Problem in the Self-Financing Condition in Two 2010-2011 Papers on Funding, Collateral and Discounting

Number of pages: 8 Posted: 10 Jul 2012 Last Revised: 17 Jul 2012
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Banca IMI and Imperial College London-Department of Mathematics
Downloads 392 (91,731)
Citation 16

Abstract:

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Funding cost, cost of funding, funding and discounting, self-financing strategy, trading strategies, hedging

3.

No-Arbitrage Bounds for the Forward Smile Given Marginals

Number of pages: 20 Posted: 28 Mar 2016 Last Revised: 07 Oct 2016
Imperial College London, Imperial College London, Imperial College London-Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 48 (471,504)
Citation 2

Abstract:

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Optimal transport, forward smile, linear programme