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As suggested by numerous studies, while the implied volatility surface changes over time, its shape tends to pervade. This motivates us to construct a dynamic model for implied volatility surface, which not only captures cross-sectional information of implied volatilities with different strikes and maturities, but also describes how the implied volatility surface evolves over time. In this paper,...
Price of a financial derivative with unilateral counterparty credit risk equals to the price of an otherwise risk-free derivative minus a credit value adjustment (CVA) component, which can be seen as a call option on investor's NPV with strike 0. Thus modeling volatility of NPV is the foundation for CVA valuation. This paper assumes that default times of counterparty and reference firm follow a special...
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