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)

• Approximate value adjustments for European claims
• A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
• The deep parametric PDE method and applications to option pricing
• Optimal feedback law recovery by gradient-augmented sparse polynomial regression
• Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
• QuantLib

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