英文标题：
《Binary Funding Impacts in Derivative Valuation》
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作者：
Junbeom Lee, Chao Zhou
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最新提交年份：
2020
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英文摘要：
  We discuss the binary nature of funding impact in derivative valuation. Under some conditions, funding is either a cost or a benefit, i.e., one of the lending/borrowing rates does not play a role in pricing derivatives. When derivatives are priced, considering different lending/borrowing rates leads to semi-linear BSDEs and PDEs, and thus it is necessary to solve the equations numerically. However, once it can be guaranteed that only one of the rates affects pricing, linear equations can be recovered and analytical formulae can be derived. Moreover, as a byproduct, our results explain how debt value adjustment (DVA) and funding benefits are dissimilar. It is often believed that considering both DVA and funding benefits results in a double-counting issue but it will be shown that the two components are affected by different mathematical structures of derivative transactions. We find that funding benefit is related to the decreasing property of the payoff function, but this relationship decreases as the funding choices of underlying assets are transferred to repo markets.
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中文摘要：
我们讨论了衍生工具估值中融资影响的二元性质。在某些情况下，融资要么是一种成本，要么是一种收益，即借贷利率之一在衍生产品定价中不起作用。当衍生工具定价时，考虑不同的借贷利率会导致半线性BSDE和PDE，因此有必要对方程进行数值求解。然而，一旦能够保证只有一种利率影响定价，就可以恢复线性方程，并推导出分析公式。此外，作为一个副产品，我们的结果解释了债务价值调整（DVA）和融资收益是如何不同的。人们通常认为，同时考虑DVA和融资收益会导致重复计算问题，但这将表明，这两个组成部分受到衍生品交易不同数学结构的影响。我们发现，融资收益与收益函数的递减性质有关，但随着标的资产的融资选择转移到回购市场，这种关系会减弱。
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分类信息：

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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