论文标题
衍生品折扣解释了
Derivatives Discounting Explained
论文作者
论文摘要
衍生品定价是关于以无风险利率的现金流量折现。由于增加了额外的价值调整（XVA），这项教学在金融危机之后失去了含义，这也使衍生品定价和估值成为投资者非常艰巨的任务。本文恢复了适当定义的折现率，该折现率与不同的抵押品和保证金方案相对应。开发了二项树型模型，使最终用户能够以交易对手默认和资金风险为代价。如果需要，相干XVA自然是由于分解折现率而导致的，并且可以在同一棵树上计算。
Derivative pricing is about cash flow discounting at the riskfree rate. This teaching has lost its meaning post the financial crisis, due to the addition of extra value adjustments (XVA), which also made derivatives pricing and valuation a very difficult task for investors. This article recovers a properly defined discount rate that corresponds to different collateral and margin schemes. A binomial tree model is developed, enabling end-users to price in counterparty default and funding risk. Coherent XVAs, if needed, naturally result from decomposing the discount rate, and can be computed on the same tree.
