Optimal Investment and Pricing in Models where the Underlying Asset May Default
he need for the pricing and hedging of credit events has increased since the financial crisis. For example, large banks are now mandated to compute prices of credit risk for all over-the-counter contracts. Such prices are known by the acronym CVA (Credit Valuation Adjustment), or more generally, XVA...
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| Format: | Others |
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Research Showcase @ CMU
2016
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| Online Access: | http://repository.cmu.edu/dissertations/684 http://repository.cmu.edu/cgi/viewcontent.cgi?article=1723&context=dissertations |