Advanced computational methods for valuation adjustments in finance

Project level: PhD, Master

The project is motivated by a number of signi cant new computational challenges arising from the computation of valuation adjustments, collectively referred to as xVA, of over-the- counter derivatives and risk-management (hedging) of associated risks, as required by the on-going fi nancial regulatory reform in response to the 2007-2008 global fi nancial crisis. The main purpose of these adjustments is to account for certain kinds of risk which were shown to be signi cant in the global fi nancial crisis, such as counter-party default risk.The projects aim to address a number of significant challenges arising from the mathematical modelling, computation and risk-management of valuation adjustments of financial contracts. This will be achieved via a novel computational and mathematical approach at the interface of Monte Carlo, partial differential equations and numerical integration methods, building on recent exciting advances in these areas.