Addendum to: 'PDE Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs'

3 Pages Posted: 19 Jul 2012

See all articles by Christoph Burgard

Christoph Burgard

Bank of America - Bank of America Merrill Lynch

Mats Kjaer

Bloomberg L.P.

Date Written: July 13, 2012

Abstract

This addendum corrects an error in the notation of earlier versions of our paper "PDE Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs" and Journal of Credit Risk 2011. None of the arguments and results of the paper change. A revised version of the paper has been posted.

The paper "Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs" to which this Addendum applies is available at the following URL: http://ssrn.com/abstract=1605307

Keywords: Counterparty risk, Credit Valuation Adjustment, Funding costs, PDE, Feynman-Kac Theorem

JEL Classification: G13, C63

Suggested Citation

Burgard, Christoph and Kjaer, Mats, Addendum to: 'PDE Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs' (July 13, 2012). Available at SSRN: https://ssrn.com/abstract=2109723 or http://dx.doi.org/10.2139/ssrn.2109723

Christoph Burgard

Bank of America - Bank of America Merrill Lynch ( email )

London
United Kingdom

Mats Kjaer (Contact Author)

Bloomberg L.P. ( email )

39-45 Finsbury Square
City Gate House
London, EC2A 1PQ
United Kingdom

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