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XVA smile models

Created over 3 years ago, updated 3 days ago

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

A Least-Squares Monte Carlo approach

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