Faculty Advisor

Sturm, Stephan

Faculty Advisor

Wang, Gu

Abstract

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.

Publisher

Worcester Polytechnic Institute

Date Accepted

March 2016

Major

Actuarial Mathematics

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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