英文标题：
《Reflected Backward SDE approach to the price-hedge of defaultable claims
  with contingent switching CSA》
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作者：
Giovanni Mottola
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最新提交年份：
2015
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英文摘要：
  In this work we study the price-hedge issue for general defaultable contracts characterized by the presence of a contingent CSA of switching type. This is a contingent risk mitigation mechanism that allow the counterparties of a defaultable contract to switch from zero to full/perfect collateralization and switch back whenever until maturity T paying some instantaneous switching costs , taking in account in the picture CVA, collateralization and the funding problem. We have been lead to the study of this theoretical pricing/hedging problem, by the economic significance of this type of mechanism which allows a greater flexibility in managing all the defaultable contract risks with respect to the \"standard\" non contingent mitigation mechanisms (as full or partial collateralization). In particular, our approach through hedging strategy decomposition of the claim (proposition 2.2.5) and its price-hedge representation through system of nonlinear reflected BSDE (theorem 3.2.4) are the main contribution of the work.
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中文摘要：
在这项工作中，我们研究了一般可违约合同的价格对冲问题，其特征是存在一个切换类型的或有CSA。这是一种或有风险缓解机制，允许可违约合同的交易对手从零转换为完全/完美抵押，并在到期前支付一些即时转换成本时，将CVA、抵押和融资问题考虑在内。通过这种机制的经济意义，我们对这种理论定价/对冲问题进行了研究，这种机制允许更灵活地管理与“标准”非或有缓解机制（作为全部或部分抵押）有关的所有违约合同风险。特别是，我们通过对冲策略分解索赔（命题2.2.5）及其通过非线性反射BSDE系统的价格对冲表示（定理3.2.4）的方法是这项工作的主要贡献。
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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：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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