The goal of this project is to develop XVA pricing methods for options with discrete time settings. Particularly, this project focuses on risk valuation adjustments pertaining to funding spread and counterparty credit risk, and applies them to the binomial tree model. The final model incorporates both risk valuation adjustments, and numerical examples are provided.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Bonner, Catherine Jean
• Campanelli, Jeremiah

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-032516-083427

Award

• Provost's MQP Award

Advisor

• Sturm, Stephan
• Wang, Gu

Year

• 2016

Date created

• 2016-03-25

Resource type

• Major Qualifying Project

Major

• Actuarial Mathematics

Rights statement

• In Copyright

Last modified

• 2023-01-20