Marco Francischello

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Papers (4)

1. Risk-neutral valuation under differential funding costs, defaults and collateralization q-fin.PR · 2018 · author #3
2. An indifference approach to the cost of capital constraints: KVA and beyond q-fin.RM · 2017 · author #2
3. Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization q-fin.PR · 2015 · author #3
4. Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs q-fin.PR · 2015 · author #2

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Frequent Coauthors

• Andrea Pallavicini 4 shared papers
• Damiano Brigo 4 shared papers
• Cristin Buescu 1 shared papers
• Giacomo Bormetti 1 shared papers
• Marek Rutkowski 1 shared papers