Piterbargov model vrednotenja OTC izvedenih finančnih instrumentov ob prisotnosti CSA sporazuma : magistrsko delo

Petkovšek, Živa (author), Bernik, Janez (mentor)

• Language: Slovenian
• Keywords: finančna matematika, CSA, FVA, jamstvo, integrirana repna porazdelitev, izvedeni finančni instrument, OTC trg, diskontiranje
• Work type: Master's thesis/paper
• Typology: 2.09 - Master's Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [Ž. Petkovšek]
• Year: 2016
• Number of pages: XVI, 74 str.
• PID: 20.500.12556/RUL-96786
• UDC: 519.8
• COBISS.SI-ID: 17758809
• Publication date in RUL: 16.10.2017

Secondary language

• Language: English
• Title: Piterbarg model of valuing OTC financial derivatives in the presence of the CSA contract
• Keywords: credit support annex, funding value adjustment, collateral, derivatives, over-the-counter market, adjustment coefficient, discounting