Numerical Solutions to PDE Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs

The purpose of this paper is to present numerical solutions to PDE representations for derivatives pricing including bilateral credit valuation adjustments and funding costs valuation adjustment as presented in Burgard and Kjaer (2011). In particular, we use Crank-Nicolson finite-difference scheme...

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Detalles Bibliográficos
Autor Principal: Torres Laserna, Nicolas
Otros Autores: Serrano, Rafael
Formato: Tesis de maestría (Master Thesis)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2018
Materias:
CVA
FVA
Acceso en línea:http://repository.urosario.edu.co/handle/10336/14430