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2. A Bond Consistent Derivative Fair Value. (2014). Gunnesson, Johan ; Alberto Fern'andez Mu~noz de Morales, .
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1. A. Castagna. Funding, liquidity, credit and counterparty risk: Links and implications. Working Paper, 2011.
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2. A. Pallavicini, D. Perini, and D. Brigo. Funding Valuation Adjustment: FVA consistent with CVA, DVA, WWR, Collateral, Netting and re-hyphotecation. ssrn.com, 2011.

3. C. Burgard and M. Kjaer. In the balance. Risk Magazine, October, 2011.
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4. C. Burgard and M. Kjaer. Partial diïerential equation representations of derivatives with counterparty risk and funding costs. The Journal of Credit Risk, 7 (3):1â19, 2011.
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5. C. Kenyon, and R. Stamm. Discounting, Libor, CVA and Funding. Palgrave MacMillan, 2012.
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6. D. Brigo, A. Capponi, A. Pallavicini, and V. Papatheodorou. Collateral margining in arbitrage-free counterparty valuation adjustment including re-hypotecation and netting. Working Paper, 2011.

7. D. Brigo, A. Capponi, and A. Pallavicini. Arbitrage-free bilateral counterparty risk valuation under collateralization and re-hypothecation with application to CDS. Mathematical Finance, 2011. Accepted for publication.
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8. D. Brigo, M. Morini, and A. Pallavicini. Counterparty Credit Risk, Collateral and Funding with pricing cases for all asset classes. Wiley, Forthcoming, 2012.
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9. D. Brigo. Counterparty risk FAQ: Credit VaR, PFE, CVA, DVA, closeout, netting, collateral, re-hypothecation, WWR, Basel, funding, CCDS and margin lending. Working Paper, 2011.

10. D. Duïe. Dynamic Asset Pricing Theory. Princeton University Press, 3rd edition, 2001. D. Brigo, C. Buescu, A. Pallavicini, Q. Liu. Illustrating a problem in the self-ïnancing condition 8
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11. J. Hull. Options, Futures and other Derivatives. 8th Edition. Prentice Hall, 2011.
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12. M. Fujii, Y. Shimada, and A. Takahashi. Collateral posting and choice of collateral currency. Working Paper, 2010.

13. M. Morini and A. Prampolini. Risky funding: A uniïed framework for counterparty and liquidity charges. Risk Magazine, March, 2011.
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14. S. Crepey. A BSDE approach to counterparty risk under funding constraints. Working Paper, 2011.
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15. S. Crepey. Bilateral counterparty risk under funding constraints Part I: Pricing. Forthcoming in Mathematical Finance, 2012.
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16. S. Crepey. Bilateral counterparty risk under funding constraints Part II: CVA. Forthcoming in Mathematical Finance, 2012.
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17. S. Shreve. Stochastic Calculus for Finance II: Continuous-Time Models. Springer Verlag, Heidelberg, 2004.
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18. U. Cherubini. Counterparty risk in derivatives and collateral policies: the replicating portfolio approach. In L. Tilman, editor, ALM of Financial Institutions. Institutional Investor Books, 2005.
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19. V. Piterbarg. Funding beyond discounting: collateral agreements and derivatives pricing. Risk Magazine, 2:97â102, 2010.
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1. Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics. (2025). Seeger, Norman ; Lucas, Andrae ; Khanna, Yonas.
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2. Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis. (2025). Andersson, Kristoffer ; Gnoatto, Alessandro.
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3. Handling model risk with XVAs. (2024). Crpey, Stphane ; Bnzet, Cyril.
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4. Cross-Currency Basis Swaps Referencing Backward-Looking Rates. (2024). Rutkowski, Marek ; Liu, Ruyi ; Ding, Yining.
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5. On Deep Learning for computing the Dynamic Initial Margin and Margin Value Adjustment. (2024). Villarino, Joel P ; 'Alvaro Leitao, .
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6. Nonlinear Valuation with XVAs: Two Converging Approaches. (2022). Pallavicini, Andrea ; Brigo, Damiano ; Rutkowski, Marek ; Francischello, Marco ; Buescu, Cristin.
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7. Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk. (2022). Jos'e A. Garc'ia-Rodr'iguez, ; Villarino, Joel P ; 'Alvaro Leitao, .
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8. Relevance of Wrong-Way Risk in Funding Valuation Adjustments. (2022). Oosterlee, Cornelis ; Grzelak, Lech ; van der Zwaard, T.
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9. Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms. (2022). Wei, Wei ; Tan, Ken Seng ; Sun, Chaofan.
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10. A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting. (2021). Oosterlee, Cornelis ; Grzelak, Lech ; van der Zwaard, Thomas.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:391:y:2021:i:c:s009630032030624x.

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11. Mild to classical solutions for XVA equations under stochastic volatility. (2021). Brigo, Damiano ; Graceffa, Federico ; Kalinin, Alexander.
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    RePEc:arx:papers:2112.11808.

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12. xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT. (2020). Wu, Lixin ; Zhang, Dawei.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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13. Deep xVA solver - A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena.
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14. A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting. (2020). Oosterlee, Cornelis ; Grzelak, Lech ; van der Zwaard, T.
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15. Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin. (2019). Oliva, Immacolata ; Gnoatto, Alessandro ; Biagini, Francesca.
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16. Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. (2019). Pallavicini, Andrea ; Brigo, Damiano ; Francischello, Marco.
    In: European Journal of Operational Research.
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17. The study of dynamics for credit default risk by backward stochastic differential equation method. (2018). Yan, Wenchao ; Tian, Kun ; Yuan, George Xianzhi ; Xiong, Dewen.
    In: International Journal of Financial Engineering (IJFE).
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18. Pricing and hedging vulnerable option with funding costs and collateral. (2018). Han, Xingyu.
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19. Risk-neutral valuation under differential funding costs, defaults and collateralization. (2018). Pallavicini, Andrea ; Brigo, Damiano ; Rutkowski, Marek ; Francischello, Marco ; Buescu, Cristin.
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20. Bail-in and asset encumbrance - Implications for banks’ asset liability management. (2017). Posch, Peter ; Lubbers, Johannes ; Erhardt, Joachim .
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21. Funding Value Adjustments. (2017). Duffie, Darrell ; Song, Yang ; Andersen, Leif.
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22. Funding, repo and credit inclusive valuation as modified option pricing. (2017). Brigo, Damiano ; Rutkowski, Marek ; Buescu, Cristin.
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23. CVA AND FVA TO DERIVATIVES TRADES COLLATERALIZED BY CASH. (2015). Wu, Lixin.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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24. LIQUIDITY RISK, INSTEAD OF FUNDING COSTS, LEADS TO A VALUATION ADJUSTMENT FOR DERIVATIVES AND OTHER ASSETS. (2015). Nauta, Bert-Jan.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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25. Credit Derivative Evaluation and CVA Under the Benchmark Approach. (2015). Platen, Eckhard ; Baldeaux, Jan.
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    RePEc:kap:apfinm:v:22:y:2015:i:3:p:305-331.

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26. Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs. (2015). Pallavicini, Andrea ; Brigo, Damiano ; Francischello, Marco.
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27. Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA. (2015). Mottola, Giovanni .
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28. Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA. (2015). Mottola, Giovanni .
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29. A note on discounting and funding value adjustments for derivatives. (2014). He, Yeqi ; Han, Meng ; Zhang, HU.
    In: Journal of Financial Engineering (JFE).
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30. Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks. (2014). Pallavicini, Andrea ; Brigo, Damiano.
    In: Journal of Financial Engineering (JFE).
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31. The Whys of the LOIS: Credit Skew and Funding Spread Volatility. (2014). Douady, Raphael ; Crepey, Stephane.
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32. The Whys of the LOIS: Credit Skew and Funding Spread Volatility. (2014). Douady, Raphael ; Crepey, Stephane.
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33. The Whys of the LOIS: Credit Skew and Funding Spread Volatility. (2014). Douady, Raphael ; Crepey, Stephane.
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34. A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding. (2014). Mottola, Giovanni .
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35. An initial approach to Risk Management of Funding Costs. (2014). Brigo, Damiano ; Durand, Cyril.
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36. Funding Value Adjustment and Incomplete Markets. (2014). Cornalba, Lorenzo.
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37. A Bond Consistent Derivative Fair Value. (2014). Gunnesson, Johan ; Alberto Fern'andez Mu~noz de Morales, .
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    RePEc:arx:papers:1406.5755.

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38. Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes. (2014). Pallavicini, Andrea ; Brigo, Damiano ; Liu, Qing ; Sloth, David.
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39. Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging. (2014). Gunnesson, Johan ; Alberto Fern'andez Mu~noz de Morales, .
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40. Primer: The FST Theorem for Pricing with Foreign Collateral. (2013). Brace, Alan.
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41. Primer: Curve Stripping with Full Collateralisation. (2013). Brace, Alan.
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42. Credit Derivative Evaluation and CVA under the Benchmark Approach. (2013). Platen, Eckhard ; Baldeaux, Jan.
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43. A Note on Discounting and Funding Value Adjustments for Derivatives. (2013). He, Yeqi ; Han, Meng ; Zhang, HU.
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44. Pricing of Corporate Loan : Credit Risk and Liquidity cost. (2013). Papin, Timothee.
    In: Economics Thesis from University Paris Dauphine.
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45. Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1. (2013). Bielecki, Tomasz R. ; Rutkowski, Marek.
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46. CVA and FVA to Derivatives Trades Collateralized by Cash. (2013). Wu, Lixin.
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47. DVA for Assets. (2013). Kenyon, Richard David .
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48. Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments. (2012). Pallavicini, Andrea ; Brigo, Damiano ; Perini, Daniele .
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49. Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting. (2012). Pallavicini, Andrea ; Brigo, Damiano ; Liu, Qing ; Buescu, Cristin.
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50. Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending. (2012). Brigo, Damiano.
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