LIBOR Market Model calibration for Credit Valuation Adjustment of a portfolio of swaptions

Additional Metadata
Keywords	Shifted LIBOR Market Model; Interest rate swaptions; Least-Squares Monte Carlo; CVA; Expected Positive Exposure; Adjustment Factor; Calibration; Cash-settled; Physically- settled
Thesis Advisor	Grith, M
Persistent URL	hdl.handle.net/2105/65835
Series	Econometrie
Organisation	Erasmus School of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Allick, D. (2023, January 12). LIBOR Market Model calibration for Credit Valuation Adjustment of a portfolio of swaptions. Econometrie. Retrieved from http://hdl.handle.net/2105/65835

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