文档介绍：经济与管理学院-智能决策与风险分析研究所与国际交流处联合举办
Discounting and Funding Value Adjustments
For Financial Derivatives
金融衍生品的贴现与资金估值调整
报告时间:9月29日下午2:30---4:30
报告地点:将军路校区东区1号楼112教室(D1112)
报告人:张虎(德国基尔大学计算机科学博士
加拿大皇家银行模型风险管理部门高级经理
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ABSTRACT
The seminal work on equity option pricing by Black and Scholes earned the 1997 Nobel Prize in Economics, while the key idea of their model is to construct a hedging portfolio of the underlying asset and a borrowing position. The replication and self-financing features of this hedging portfolio, together with the assumption of a single risk-free funding rate for the borrowing position lead to a PDE, whose solution gives the Black-Scholes pricing formula for equity option. This idea has been widely extended in mathematical finance to plex financial derivatives.
Current over-the-counter trading of financial derivatives in capital markets is usually performed with certain collateralization requirements in order to limit the counterparty credit risk. The mismatch between collateral settlement period and the derivative payment date results in two different funding rates according to the actual cashflows. The discrepancy between these two rates has e material and fluctuant since the recent financial crisis, such that the single funding rate assumption in the classical Black-Scholes model is not valid any more. Based on the pioneering