dc.contributor.advisorSerrano, Rafael 
dc.creatorTorres Laserna, Nicolas 
dc.date.accessioned2018-02-22T12:13:34Z
dc.date.available2018-02-22T12:13:34Z
dc.date.created2018-02-15
dc.identifier.urihttp://repository.urosario.edu.co/handle/10336/14430
dc.descriptionThe 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 to solve Black-Scholes risk-free PDE, for European and American options, and show how this numerical solution approach is extendable to solve the risky PDE for the value of the same derivative using the same finite-difference scheme and algorithm. Also, we present numerical solutions to valuation adjustments derived from PDE representations for European options through Monte Carlo simulation and numerical integration and we explore an empirical approach for American options through Monte Carlo simulation, least-squares and numerical integration.
dc.format.mimetypeapplication/pdf
dc.language.isospa
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/2.5/co/
dc.sourcereponame:Repositorio Institucional EdocUR
dc.sourceinstname:Universidad del Rosario
dc.subjectCounterparty risk
dc.subjectFunding Costs
dc.subjectCVA
dc.subjectFVA
dc.subjectPDEs
dc.subjectFinite-Differences
dc.subjectMonte Carlo
dc.subjectNumerical Integration
dc.subjectLeast-Squares
dc.subjectDerivatives
dc.subjectOptions
dc.subjectCollateral Agreements
dc.subject.ddc515.35
dc.subject.lembEcuaciones diferenciales
dc.subject.lembPreci::Soluciones numéricas
dc.titleNumerical Solutions to PDE Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs
dc.typemasterThesis
dc.publisherUniversidad del Rosario
dc.creator.degreeMagíster en Finanzas Cuantitativas
dc.publisher.programMaestría en Finanzas Cuantitativas
dc.publisher.departmentFacultad de Economía
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.type.spaTesis de maestría
dc.rights.accesoAbierto (Texto Completo)
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersion
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dc.rights.ccAtribución-NoComercial-CompartirIgual 2.5 Colombia
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