Search for dissertations about: "credit valuation adjustment CVA"

Found 2 swedish dissertations containing the words credit valuation adjustment CVA.

  1. 1. Information and Default Risk in Financial Valuation

    Author : Marta Leniec; Erik Ekström; Christoph Kühn; Uppsala universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; pricing; valuation; American options; Dynkin games; optimal stopping problem; optimal stopping games; credit risk; default risk; information; filtration; enlargement of filtrations;

    Abstract : This thesis consists of an introduction and five articles in the field of financial mathematics. The main topics of the papers comprise credit risk modelling, optimal stopping theory, and Dynkin games. An underlying theme in all of the articles is valuation of various financial instruments. READ MORE

  2. 2. Essays in Quantitative Finance

    Author : Patrik Karlsson; Nationalekonomiska institutionen; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; SAMHÄLLSVETENSKAP; NATURAL SCIENCES; SOCIAL SCIENCES; credit valuation adjustment CVA ; derivative pricing; interest rate derivatives; Monte Carlo simulation;

    Abstract : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. READ MORE