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  • Giovanni CesariEmail author
  • John Aquilina
  • Niels Charpillon
  • Zlatko Filipović
  • Gordon Lee
  • Ion Manda
Chapter
Part of the Springer Finance book series (FINANCE)

Abstract

In Chap. 4 and 5 we described a generic valuation framework which takes into account the possibility of transactions having early exercise features. In the notation that we introduced there, we represent by T={τ 1,τ 2,…,τ n }∪{∞} the set of times at which the holder of the option may opt to replace the no-exercise portfolio P with time-t value \(V_{t}^{P}\) , with a different portfolio Q with time-t value \(V_{t}^{Q}\) ({∞}=T indicates no-exercise). The goal of this and of the next chapters is to compute counterparty credit exposure for different types of transactions.

Keywords

Interest Rate Swap Rate Libor Rate Exposure Computation Average Presence 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Giovanni Cesari
    • 1
    Email author
  • John Aquilina
    • 1
  • Niels Charpillon
    • 1
  • Zlatko Filipović
    • 1
  • Gordon Lee
    • 1
  • Ion Manda
    • 1
  1. 1.UBS AGLondonUK

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