Browsing Institutt for industriell økonomi og teknologiledelse by Author "Aadland, Aadne Ravndal"
Now showing items 1-1 of 1
-
Pricing Credit Value Adjustment for Interest Rate Swaps under the Cheyette model - A Least-Squares Monte Carlo approach
Devold, Vegard Lofthus; Sæbø, Eyvind Thommesen; Aadland, Aadne Ravndal (Master thesis, 2015)In this thesis we consider two alternatives to the Brute Force approach for credit value adjustment (CVA) calculations for interest rate swaps. Both methods, the \textit{Proxy approach} as well as the \textit{CVA Notional} ...