XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS (Q4686502): Difference between revisions

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+Toward a coherent Monte Carlo simulation of CVA
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+Coherent global market simulations and securitization measures for counterparty credit risk
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+Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
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+Quasi-regression
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+Arbitrage‐free XVA
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+An analysis of a least squares regression method for American option pricing
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+Financial modeling. A backward stochastic differential equations perspective
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+Q5169724
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+Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives
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+Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
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+Counterparty risk and funding: immersion and beyond
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+PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL
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+ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
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+The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
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+Multilevel Monte Carlo Path Simulation
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+A regression-based Monte Carlo method to solve backward stochastic differential equations
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+Analytical Approximations of BSDEs with Nonsmooth Driver
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+Nested Simulation in Portfolio Risk Measurement
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+Combined Multiple Recursive Random Number Generators
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+Convergence rates and asymptotic normality for series estimators
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