Sparse grid method for highly efficient computation of exposures for xVA

DOI10.1016/J.AMC.2022.127446MaRDI QIDQ2168601zbMATH OpenOpenAlexFDO

Authors Lech A. Grzelak

Publication date 26 August 2022

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2104.14319

zbMATH Keywords

Chebyshev polynomialsClenshaw-Curtisexpected exposuresSCSmolyak's sparse gridsstochastic collocationvaluation adjustmentxVA

Mathematics Subject Classification ID

Approximations and expansions (41Axx) Numerical approximation and computational geometry (primarily algorithms) (65Dxx) Actuarial science and mathematical finance (91Gxx)

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Cites work

• A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
• A method for numerical integration on an automatic computer
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• High dimensional polynomial interpolation on sparse grids
• High-Order Collocation Methods for Differential Equations with Random Inputs
• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• scientific article; zbMATH DE number 3321507 (Why is no real title available?)
• Is Gauss Quadrature Better than Clenshaw–Curtis?
• Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
• Mathematical modeling and computation in finance. With exercises and Python and MATLAB computer codes
• On cross-currency models with stochastic volatility and correlated interest rates
• Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
• Smolyak's algorithm: a powerful black box for the acceleration of scientific computations
• Speed-up credit exposure calculations for pricing and risk management
• The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
• XVA analysis from the balance sheet
• XVA principles, nested Monte Carlo strategies, and GPU optimizations

Cited in

(10)

• Efficient exposure computation by risk factor decomposition
• XVA principles, nested Monte Carlo strategies, and GPU optimizations
• A sparse grid approach to balance sheet risk measurement
• Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
• Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk
• A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
• Accelerated computations of sensitivities for xVA*
• Efficient wrong-way risk modeling for funding valuation adjustments
• Multimodal uncertainty propagation analysis for the morphing wings of cross-domain variant aircraft
• On randomization of affine diffusion processes with application to pricing of options on VIX and S\&P 500

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