Deep xVA solver

MaRDI QIDQ1351440swMATHFDO

Official website https://arxiv.org/abs/2005.02633

Source code repository https://github.com/AlessandroGnoatto/Deep-xVA-Solver

Cited in

(6)

• The deep parametric PDE method and applications to option pricing
• Approximate value adjustments for European claims
• Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
• A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
• QuantLib
• scientific article; zbMATH DE number 7370565 (Why is no real title available?)

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