In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. In combination with Monte Carlo simulation, the variance reduction technique importance sampling is used in an attempt to make the simulations more efficient. Importance sampling is used for simulation of both the asset price and, for CVA (Credit Valuation Adjustment) estimation, the default time. CVA is simulated for both European and Bermudan options. It is shown that a significant variance reduction can be achieved by utilizing importance sampl...
This article investigates several variance reduction techniques in Monte Carlo simulation applied in...
This thesis gives an example of assessing the risk of a financial portfolio with international asset...
htmlabstractValuation of Credit Valuation Adjustment (CVA) has become an important field as its calc...
In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A...
In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credi...
The counterparty credit risk is particularly hard to simulate and this thesis is only the second wor...
This work will study different methods to estimate counterparty credit risk, where the methods repre...
Pricing American style options is challenging due to early exercise opportunities. The conditional e...
Pricing different financial derivatives is an essential part of the financial industry. For some der...
Inom bank och försäkringsbranschen finns behov av framtidsprognoser och riskmått kopplade till finan...
The financial market is a stochastic and complex system that is challenging to model. It is crucial ...
Denna uppsats försöker utvärdera olika strategier för variansreduktion som används vid prissättning ...
This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH...
In this report, we present the X-Value Adjustments and we introduce a simulation approach to compute...
Pricing of more complex derivatives is very often based on Monte Carlo simulations. Estimates given ...
This article investigates several variance reduction techniques in Monte Carlo simulation applied in...
This thesis gives an example of assessing the risk of a financial portfolio with international asset...
htmlabstractValuation of Credit Valuation Adjustment (CVA) has become an important field as its calc...
In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A...
In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credi...
The counterparty credit risk is particularly hard to simulate and this thesis is only the second wor...
This work will study different methods to estimate counterparty credit risk, where the methods repre...
Pricing American style options is challenging due to early exercise opportunities. The conditional e...
Pricing different financial derivatives is an essential part of the financial industry. For some der...
Inom bank och försäkringsbranschen finns behov av framtidsprognoser och riskmått kopplade till finan...
The financial market is a stochastic and complex system that is challenging to model. It is crucial ...
Denna uppsats försöker utvärdera olika strategier för variansreduktion som används vid prissättning ...
This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH...
In this report, we present the X-Value Adjustments and we introduce a simulation approach to compute...
Pricing of more complex derivatives is very often based on Monte Carlo simulations. Estimates given ...
This article investigates several variance reduction techniques in Monte Carlo simulation applied in...
This thesis gives an example of assessing the risk of a financial portfolio with international asset...
htmlabstractValuation of Credit Valuation Adjustment (CVA) has become an important field as its calc...