摘要翻译：
我们举例说明了论文“贴现之外的融资：抵押品协议和衍生品定价”（Risk Magazine,2010年2月）和“具有交易对手风险和融资成本的衍生品的偏微分方程表示”（Credit Risk Journal of Credit Risk,2011）中使用的自筹资金条件中的一个问题。这些文件陈述了一个错误的自筹资金条件。在第一篇论文中，这相当于假设股权头寸是自负盈亏的，并且不包括现金头寸。在第二篇论文中，这相当于假设一个子投资组合本身是自负盈亏的，而不是整个投资组合。当明确区分价格过程、红利过程和收益过程时，避免了第一篇论文中的错误。我们给出了一个推导提纲，得出了对自筹资金条件的正确陈述，澄清了相关资金账户的结构，并表明即使自筹资金条件不陈述，“贴现以外的资金”的最终结果是正确的。
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英文标题：
《Illustrating a problem in the self-financing condition in two 2010-2011
  papers on funding, collateral and discounting》
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作者：
Damiano Brigo, Cristin Buescu, Andrea Pallavicini, Qing Liu
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  We illustrate a problem in the self-financing condition used in the papers "Funding beyond discounting: collateral agreements and derivatives pricing" (Risk Magazine, February 2010) and "Partial Differential Equation Representations of Derivatives with Counterparty Risk and Funding Costs" (The Journal of Credit Risk, 2011). These papers state an erroneous self-financing condition. In the first paper, this is equivalent to assuming that the equity position is self-financing on its own and without including the cash position. In the second paper, this is equivalent to assuming that a subportfolio is self-financing on its own, rather than the whole portfolio. The error in the first paper is avoided when clearly distinguishing between price processes, dividend processes and gain processes. We present an outline of the derivation that yields the correct statement of the self-financing condition, clarifying the structure of the relevant funding accounts, and show that the final result in "Funding beyond discounting" is correct, even if the self-financing condition stated is not.
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PDF链接：
https://arxiv.org/pdf/1207.2316