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In Rememberance: World Trade Center (WTC)

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Piterbarg, Vladimir, "Funding Beyond Discounting: Collateral agreements and derivatives pricing", RISK, (February 2012), Vol. 24, N0. 2, pp. 97-102.

Abstract: Standard theory assumes traders can lend and borrow at a risk-free rate, ignoring the intricacies of the repo and collateralisation markets. Here, Vladimir Piterbarg shows that these force adjustments to discounting, forward prices and implied volatilities, depending on the particulars of collateral posting.

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