Continuous Term Structures for Implied Recovery

Credit risk pricing models assume recovery to be at its \textit{historical} average (historical recovery assumption). However, the effect of this assumption is not completely understood. The heard of this thesis lies in constructing a new pricing model for Credit Default Swaps (CDS), in particularly allowing for negative correlation between...

CVA calculation, an extended marked branching diffusion approach

The marked branching diffusion algorithm as proposed by (Henry-Labordere, 2012), based on the particle diffusion introduced by (McKean, 1975), is extended upon to include stochastic interest rate models. This extended branching diffusion algorithm is used to solve pricing PDE's for equity derivatives including CVA, using the two types of default...