报告题目： VALUATION UNDER CREDIT RISK, MARGINS AND FUNDING: A UNIFYINGAPPROACH ENCOMPASSING XVA

报 告 人： Marek Rutkowski教授（澳大利亚悉尼大学）

报告时间 ：2018年4月19日 15:30-16:30

报告地点：知新楼B-1238

报告摘要：

Wedevelop a unified valuation theory that incorporates credit risk (defaults),collateralization and funding costs, by expanding the replication approach to agenerality that has not yet been studied previously and reaching valuation whenreplication is not assumed.  Thisunifying theoretical framework clarifies the relationship between the twovaluation approaches: the adjusted cash flows approach of Brigo et al.(2016,2017) and the classic replication approach of Bielecki et al.(2015,2017). In particular, results of this work cover most previous papers inwhich the authors have examined specific replication-based models. This is ajoint work with Damiano Brigo, Cristin Buescu, Marco Francischello and AndreaPallavicini..