Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

I am trying to help a friend with her thesis on Counterparty Credit Risk where she intends to have a somewhat lengthy treatment on Credit Valuation Adjustment (CVA). Specifically I am looking to help her in including some computer simulated experiments which would hopefully illustrate CVA calculations under simulated scenarios.

I have been reading a bit on CVA and have got somewhat fair idea of what's going on. However, I am at a loss to find a document where the "Math" has been distilled and computational aspects highlighted, preferably from a programmer's point of view. I have come across a document, which is part of MATLAB's financial toolbox and it does give me some ideas.

I am looking for suggestions/pointers regarding the same.

PS: I am not averse to understanding the Math, just quite perplexed about the "only Math" aspect.

share|improve this question

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.