XVA principles, nested Monte Carlo strategies, and GPU optimizations (Q4686502)
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scientific article; zbMATH DE number 6950458
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| English | XVA principles, nested Monte Carlo strategies, and GPU optimizations |
scientific article; zbMATH DE number 6950458 |
Statements
XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS (English)
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10 October 2018
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X-valuation adjustment (XVA)
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nested Monte Carlo (NMC)
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graphics processing units (GPU)
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0.7827674746513367
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0.7822414040565491
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0.7327339053153992
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0.7307458519935608
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0.7189161777496338
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