Thesis (Ph.D)--Virginia Commonwealth University, 2009. / Prepared for: Dept. of Accounting. Title from title-page of electronic thesis. Bibliography: leaves 95-98.

Thesis (M.S.)--Worcester Polytechnic Institute. / Keywords: variance-reduction techniques; Quasi- Monte Carlo; path-dependent securities; low-discrepancy methods. Includes bibliographical references (p. 64-65).

Thesis (Ph. D.)--Hong Kong University of Science and Technology, 2003. / Includes bibliographical references (leaves 95-99). Also available in electronic version. Access restricted to campus users.

Thesis (Ph.D.)--York University, 2005. Graduate Programme in Mathematics and Statistics. / Typescript. Includes bibliographical references (leaves 69-75). Also available on the Internet. MODE OF ACCESS via web browser by entering the following URL: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:NR11585

Thesis (Ph. D.)--University of Texas at Austin, 2007. / Vita. Includes bibliographical references.

Assignment (MComm)--University of Stellenbosch, 2007. / Bibliography. Also available via the Internet.

"Submitted in partial fulfillment of the requirements for the degree of Master of Business Administration from the Naval Postgraduate School, June 2009." / Advisor(s): Brook, Douglas ; Hensel, Nayantara ; Summers, Donald. "June 2009." "MBA professional report"--Cover. Description based on title screen as viewed on July 14, 2009. Author(s) subject terms: Oil, Price Elasticity of Demand, Hedging, Department of Defense, DoD, Fuel Purchases. Includes bibliographical references (p. 71-73). Also available in print.

Thesis (Ph. D.)--University of Texas at Austin, 2001. / Vita. Includes bibliographical references. Available also in a digital version from UMI/Dissertation Abstracts International.

Counterparty credit risk (CCR) is the risk that a counterparty in a deal will not be able to meet their contractual obligations in the future. While CCR is an important task for any risk desk, it has often been underestimated due to the miss-conception that some counterparties were deemed to be either too big to fail or too big to be allowed to default. This was highlighted by the 2008 nancial crisis that saw respected banks, such as Lehman Brothers, and nancial service providers, such as AIG, default on their obligations. Since then there has been renewed interest in CCR, with the focus being on actively pricing and hedging it. In this work CCR is invistigated including its intersection with other forms of risk. CCR mitigation techniques are explored, followed by the formal quanti cation of CCR in the form of credit value adjustments (CVA). The analysis of CCR is then applied to interest rate derivatives, more speci cally forward rate agreements (FRAs) and interest rate swaps (IRSs). The e ect of correlation on unilateral and bilateral CVA between counterparties, including risk factors such as the interest rate, is investigated. This is invistigated under two credit risk modelling frameworks, the structural and intensity based frameworks. It is shown that correlation has a none-negligible e ect on both unilateral and bilateral CVA for FRAs and IRSs. Correlation structures, namely the Gaussian and the Student-t copula, are used to induce dependency in order to understand their e ect on both unilateral and bilateral CVA. It is shown that the choice of copula does not have signi cant e ect on either unilateral or bilateral CVA.

As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options by using the method. Secondly, the basic idea of using the method in computing option price is described. Thirdly, pricing vanilla options is introduced. Fourthly, we discuss some techniques of improving computing accuracy. They include antithetic variables, control variate methods and importance sampling. / Fifth, we study in detail pricing option problems by using the Monte Carlo method. Then we present a new method on pricing American option, by which, the required memory in computation can be significantly reduced. For most methods of pricing American options, bias exists. However, by using the memory reduction method, minimizing biases is possible. We also discuss the problem for valuation of multiasset options by using our method. In fact, this is an important application of the Monte Carlo method in practical financial problems. / Finally, comparisons of the performances of these numerical results are presented. / Some basic concepts on options are first introduced. Then general methods for pricing options are described. These methods include: analytical formula, finite difference methods and binomial and multinomial methods. These prepare us for the in-depth study on the Monte Carlo method in subsequent chapters. / The Monte Carlo approach has proved to be a valuable and flexible computational tool in modern finance. The Monte Carlo method is the main topic of the thesis. / by Chen Yong. / "August 2002." / Adviser: Raymond Chan. / Source: Dissertation Abstracts International, Volume: 63-10, Section: B, page: 4710. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (p. 77-79). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.