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Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
10/10 checkable references clean · checked 2026-07-25
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
5 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
The 10 checked references that resolve
resolves10.1142/S2345768614500019
Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
resolves10.1137/130928819
Valuation and Hedging of Contracts with Funding Costs and Collateralization
resolves10.1016/S0304-4149(02)00085-6
On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case
resolves10.2139/ssrn.2244580
Interest-Rate Modelling in Collateralized Markets: Multiple Curves, Credit-Liquidity Effects, CCPs
resolves10.2139/ssrn.1969114
Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation
resolves10.2139/ssrn.2161528
Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments
resolves10.1007/BFb0007334
Backward stochastic differential equations and quasilinear parabolic partial differential equations
The 5 references without a DOI — listed, not checked
no DOI — not checkedBielecki, T.R., Rutkowski, M.: Credit Risk: Modeling, Valuation and Hedging. Springer, Heidelberg (2002)
no DOI — not checkedBielecki, T.R., Jeanblanc-Picqué, M., Rutkowski, M.: Credit Risk Modeling. Osaka University Press, Osaka (2009)
no DOI — not checkedBrigo, D., Liu, Q., Pallavicini, A., Sloth, D.: Nonlinear valuation under collateral, credit risk and funding costs: a numerical case study extending Black–Scholes. arXiv preprint at arXiv:1404.7314 . A refined version of this report by the same authors is being published in this same volume
no DOI — not checkedNie, T., Rutkowski, M.: A bsde approach to fair bilateral pricing under endogenous collateralization. arXiv preprint arXiv:1412.2453 (2014)
no DOI — not checkedZhang, J.: Some fine properties of backward stochastic differential equations, with applications. Ph.D. thesis, Purdue University. http://www-bcf.usc.edu/~jianfenz/Papers/thesis.pdf (2001)
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