paper
A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral
Hovik Tumasyan
A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral
Hovik Tumasyan
paper2018-06-24English
derivatives pricingarxiv
Description
The paper reviews origins of the approach to pricing derivatives post-crisis by following three papers that have received wide acceptance from practitioners as the theoretical foundations for it - [Piterbarg 2010], [Burgard and Kjaer 2010] and [Burgard and Kjaer 2013]. The review reveals several conceptual and technical inconsistencies with the approaches taken in these papers. In particular, a key component of the approach - prescription of cost components to a risk-free money account, genera...
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