Browsing Institutt for industriell økonomi og teknologiledelse by Author "Aadland, Aadne Ravndal"

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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} ...