Computing credit valuation adjustment for Bermudan options with wrong way risk

We study the impact of wrong way risk (WWR) on credit valuation adjustment (CVA) for Bermudan options. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty's default. Two WWR models are proposed, based on a deterministic function and a CIR-jump (CIRJ) model, respectively. We present a nonnested...

Advanced Estimation of Credit Valuation Adjustment

Percolation transitions in two dimensions

We investigate bond- and site-percolation models on several two-dimensional lattices numerically, by means of transfer-matrix calculations and Monte Carlo simulations. The lattices include the square, triangular, honeycomb kagome, and diced lattices with nearest-neighbor bonds, and the square lattice with nearest- and next-nearest-neighbor bonds...