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

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dc.contributor.advisorSerrano Perdomo, Rafael Antonio
dc.creatorTorres Laserna, Nicolas
dc.creator.degreeMagíster en Finanzas Cuantitativas
dc.date.accessioned2018-02-22T12:13:34Z
dc.date.available2018-02-22T12:13:34Z
dc.date.created2018-02-15
dc.date.issued2018
dc.description.abstractThe 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.eng
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dc.identifier.doihttps://doi.org/10.48713/10336_14430
dc.identifier.urihttp://repository.urosario.edu.co/handle/10336/14430
dc.language.isospa
dc.publisherUniversidad del Rosariospa
dc.publisher.departmentFacultad de Economíaspa
dc.publisher.programMaestría en Finanzas Cuantitativasspa
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dc.rights.ccAtribución-NoComercial-CompartirIgual 2.5 Colombiaspa
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dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subjectCounterparty riskspa
dc.subjectFunding Costsspa
dc.subjectCVAspa
dc.subjectFVAspa
dc.subjectPDEsspa
dc.subjectFinite-Differencesspa
dc.subjectMonte Carlospa
dc.subjectNumerical Integrationspa
dc.subjectLeast-Squaresspa
dc.subjectDerivativesspa
dc.subjectOptionsspa
dc.subjectCollateral Agreementsspa
dc.subject.ddcAnálisis
dc.subject.lembEcuaciones diferencialesspa
dc.subject.lembPreci::Soluciones numéricasspa
dc.titleNumerical Solutions to PDE Representations of Derivatives with Bilateral Counterparty Risk and Funding Costsspa
dc.typemasterThesiseng
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersion
dc.type.spaTesis de maestríaspa
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