XVA smile models

Created over 3 years ago, updated about 2 months ago

Pricing Credit Value Adjustment for Interest Rate Swaps under the Cheyette model

A Least-Squares Monte Carlo approach

A Quadratic Volatility Cheyette Model Chiane-Law

2012 Advanced Counterparty Risk and CVA via Stochastic Volatility - Ignacio Ruiz

2016 Smile and Default: The Role of Stochastic Volatility and Interest Rates in Counterparty Credit Risk

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