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Publications by Francesco Cordoni
A BSDE With Delayed Generator Approach to Pricing Under Counterparty Risk and Collateralization
International Journal of Stochastic Analysis
Statistics
Probability
Applied Mathematics
Analysis
Simulation
Modeling
Related publications
Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement
Journal of Credit Risk
Economics
Econometrics
Finance
The Pricing Implications of Counterparty Risk for Non-Linear Credit Products
Journal of Credit Risk
Economics
Econometrics
Finance
A Maximum Principle Approach to Risk Indifference Pricing With Partial Information
Journal of Applied Mathematics and Stochastic Analysis
The Credit Risk Pricing With Particle Filter Approach
An Equilibrium Model for an Otc Derivative Market Under a Counterparty Risk Constraint
Journal of Financial Management, Markets and Institutions
Managing Counterparty Risk in OTC Markets
Finance and Economics Discussion Series
Asset Pricing With a Bank Risk Factor
Journal of Money, Credit and Banking
Accounting
Economics
Econometrics
Finance
Estimates of Foreign Exchange Risk Premia: A Pricing Kernel Approach
Empirical Economics
Statistics
Probability
Economics
Econometrics
Mathematics
Social Sciences
Counterparty Risk on a CDS in a Markov Chain Copula Model With Joint Defaults
