{"id":484,"date":"2015-05-29T09:56:10","date_gmt":"2015-05-29T08:56:10","guid":{"rendered":"http:\/\/mathfinance.sns.it\/new_site\/index.php\/seminario-pallavicini-credit-2015\/"},"modified":"2015-07-16T16:22:20","modified_gmt":"2015-07-16T15:22:20","slug":"seminario-pallavicini-credit-2015","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/seminario-pallavicini-credit-2015\/","title":{"rendered":"Andrea Pallavicini, &#8220;Arbitrage-Free Pricing with Funding Costs and Collateralization&#8221;"},"content":{"rendered":"<p style=\"text-align: center;\"><span lang=\"IT\">Friday May 29<span style=\"font-size: 12px; line-height: 0px;\">\u00a0<\/span>\u00a02015<\/span><br \/>\n9.30 &#8211; 13.00<br \/>\nScuola Normale Superiore<br \/>\nAula Fermi<\/p>\n<p style=\"text-align: center;\"><b>Andrea Pallavicini<br \/>\n<\/b><span style=\"font-size: small;\">Banca IMI, Milano and Imperial College, London<\/span><\/p>\n<p style=\"text-align: center;\" align=\"center\"><strong>Arbitrage-Free Pricing with Funding Costs and Collateralization<\/strong><\/p>\n<p style=\"text-align: center;\"><strong><span lang=\"EN-GB\">Abstract<br \/>\n<\/span><\/strong>The financial crisis started in 2007 has shown that any pricing framework must include from the very beginning the possibility of default of any market player. As a consequence derivative valuation and risk analysis have moved from exotic derivatives managed on simple single-asset classes to simple derivatives embedding credit risk and new, or previously neglected, types of complex and interconnected non-linear effects. Derivative valuation is adjusted to include counterparty credit risk and contagion effects along with funding costs due to collateral posting, treasury policies, and regulatory constraints. A second level of complexity is produced by moving from a single trade to the whole bank portfolio. Aggregation-dependent valuation processes, and theirs operational challenges, arising from non-linearities are discussed both from a mathematical and practical point of view.<\/p>\n<p style=\"text-align: center;\">Download slides <a href=\"http:\/\/mathfinance.sns.it\/\/wp-content\/uploads\/2015\/05\/Credit2015_SNS.pdf\" target=\"_blank\">here<\/a>.<\/p>\n<p style=\"text-align: center;\">All interested people are kindly invited.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Friday May 29\u00a0\u00a02015 9.30 &#8211; 13.00 Scuola Normale Superiore Aula Fermi Andrea Pallavicini Banca IMI, Milano and Imperial College, London Arbitrage-Free Pricing with Funding Costs and Collateralization Abstract The financial crisis started in 2007 has shown that any pricing framework must include from the very beginning the possibility of default of any market player. As [&hellip;]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[43],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/484"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=484"}],"version-history":[{"count":6,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/484\/revisions"}],"predecessor-version":[{"id":522,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/484\/revisions\/522"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=484"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=484"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=484"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}