This paper presents a new model for pricing OTC derivatives subject to collateralization. It
allows for collateral posting adhering to bankruptcy laws. As such, the model can back out …

Abstract The Singapore Savings Bonds (SSB) is a unique investment program offered by the
Singapore government whereby retail investors can earn risk-free tax-free step-up interest …

Option pricing is an important area of research in the finance community. In this paper, we
develop a computationally feasible and efficient lattice algorithm in pricing American-style …

This article presents a comprehensive framework for valuing financial instruments subject to
credit risk. In particular, we focus on the impact of default dependence on asset pricing, as …

This paper attempts to assess the economic significance and implications of collateralization
in different financial markets, which is essentially a matter of theoretical justification and …

In this thesis, we study the issue of pricing discretely-sampled variance swaps under
stochastic volatility and stochastic interest rate. In particular, our modeling framework …

This article addresses a very important topic of the impact of collateralization on asset prices
and risk management. This is the so called plumbing of financial system that affects many …