Capital costs, fuel, operation and maintenance (O&M) costs, and electricity prices play a key role in the economics of nuclear power plants. Often standardized reactor designs are required to be locally adapted, which often impacts the project plans and the supply chain. It then becomes...

Small and medium sized reactors, SMRs, (according to IAEA, ‘small’ refers to reactors with power less than 300MWe, and ‘medium’ with power less than 700MWe) are considered as an attractive option for investment in nuclear power plants. SMRs may benefit from flexibility of investment,...

This paper presents a computationally efficient technique for the computation of exposure distributions at any future time under the risk-neutral and some observed real-world probability measures, needed for computation of credit valuation adjustment (CVA) and potential future exposure (PFE). In...

The regulatory credit value adjustment (CVA) for an outstanding over-the-counter (OTC) derivative portfolio, is computed based on the portfolio exposure over its lifetime. Usually the future portfolio exposure is approximated using Monte Carlo simulation, as the portfolio value can be driven by...

This paper describes an American Monte Carlo approach for obtaining fast and accurate exercise policies for pricing of callable LIBOR Exotics (e.g., Bermudan swaptions) in the LIBOR market model using the Stochastic Grid Bundling Method (SGBM). SGBM is a bundling and regression based Monte Carlo...