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This and the follow-up paper deal with the valuation and hedging of bilateral coun-terparty risk on OTC derivatives. Our study is done in a multiple-curve setup reflecting the various funding constraints (or costs) involved, allowing one to investigate the question of interaction between bilateral counterparty risk and funding. The first task is to define a… (More)

The correction in value of an OTC derivative contract due to counterparty risk under funding constraints, is represented as the value of a dividend-paying option on the value of the contract clean of counterparty risk and excess funding costs. This representation allows one to analyze the structure of this correction, the so-called Credit Valuation… (More)

We present a parallel implementation of Schönhage's integer GCD algorithm on distributed memory architectures. Results are generalized for the extended GCD algorithm. Experiments on sequential architectures show that Schönhage's algorithm overcomes other GCD algorithms implemented in two well known multiple-precision packages for input sizes larger than… (More)

- Stéphane Crépey, Zorana Grbac, Marek Rutkowski, Tom Bielecki, Giovanni Cesari, Jeroen Kerkhof +1 other
- 2011

This paper deals with the valuation and hedging of counterparty risk on OTC derivatives. Our study is done in a multiple-curve setup reflecting the various funding constraints (or costs) involved, allowing one to investigate the question of interaction between counterparty risk and funding. The correction in value of a contract due to counterparty risk… (More)

- Giovanni Cesari
- 2001

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