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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, .
In: Papers.
RePEc:arx:papers:2210.02175.

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  45. 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).
    RePEc:wsi:jfexxx:v:01:y:2014:i:01:n:s2345768614500019.

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  46. The Whys of the LOIS: Credit Skew and Funding Spread Volatility. (2014). Douady, Raphael ; Crepey, Stephane.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:14092.

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  47. The Whys of the LOIS: Credit Skew and Funding Spread Volatility. (2014). Douady, Raphael ; Crepey, Stephane.
    In: Post-Print.
    RePEc:hal:journl:hal-01151315.

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  48. The Whys of the LOIS: Credit Skew and Funding Spread Volatility. (2014). Douady, Raphael ; Crepey, Stephane.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:hal-01151315.

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  49. A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding. (2014). Mottola, Giovanni .
    In: Papers.
    RePEc:arx:papers:1412.1469.

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  50. An initial approach to Risk Management of Funding Costs. (2014). Brigo, Damiano ; Durand, Cyril.
    In: Papers.
    RePEc:arx:papers:1410.2034.

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  51. Funding Value Adjustment and Incomplete Markets. (2014). Cornalba, Lorenzo.
    In: Papers.
    RePEc:arx:papers:1409.6093.

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  52. A Bond Consistent Derivative Fair Value. (2014). Gunnesson, Johan ; Alberto Fern'andez Mu~noz de Morales, .
    In: Papers.
    RePEc:arx:papers:1406.5755.

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  53. 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.
    In: Papers.
    RePEc:arx:papers:1404.7314.

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  54. Recovering from Derivatives Funding: A consistent approach to DVA, FVA and Hedging. (2014). Gunnesson, Johan ; Alberto Fern'andez Mu~noz de Morales, .
    In: Papers.
    RePEc:arx:papers:1403.1086.

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  55. Primer: The FST Theorem for Pricing with Foreign Collateral. (2013). Brace, Alan.
    In: Research Paper Series.
    RePEc:uts:rpaper:331.

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  56. Primer: Curve Stripping with Full Collateralisation. (2013). Brace, Alan.
    In: Research Paper Series.
    RePEc:uts:rpaper:330.

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  57. Credit Derivative Evaluation and CVA under the Benchmark Approach. (2013). Platen, Eckhard ; Baldeaux, Jan.
    In: Research Paper Series.
    RePEc:uts:rpaper:324.

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  58. A Note on Discounting and Funding Value Adjustments for Derivatives. (2013). He, Yeqi ; Han, Meng ; Zhang, HU.
    In: MPRA Paper.
    RePEc:pra:mprapa:44495.

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  59. Pricing of Corporate Loan : Credit Risk and Liquidity cost. (2013). Papin, Timothee.
    In: Economics Thesis from University Paris Dauphine.
    RePEc:dau:thesis:123456789/12545.

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  60. Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1. (2013). Bielecki, Tomasz R. ; Rutkowski, Marek.
    In: Papers.
    RePEc:arx:papers:1306.4733.

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  61. CVA and FVA to Derivatives Trades Collateralized by Cash. (2013). Wu, Lixin.
    In: Papers.
    RePEc:arx:papers:1302.0465.

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  62. DVA for Assets. (2013). Kenyon, Richard David .
    In: Papers.
    RePEc:arx:papers:1301.5425.

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  63. Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments. (2012). Pallavicini, Andrea ; Brigo, Damiano ; Perini, Daniele .
    In: Papers.
    RePEc:arx:papers:1210.3811.

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  64. 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.
    In: Papers.
    RePEc:arx:papers:1207.2316.

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  65. Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending. (2012). Brigo, Damiano.
    In: Papers.
    RePEc:arx:papers:1111.1331.

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