Modelling, Pricing, and Hedging Counterparty Credit

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Modelling, Pricing, and Hedging Counterparty Credit Exposure, Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda, Calcul, 9783642262081

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Modelling, Pricing, and Hedging Counterparty Credit Exposure

A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets