XVA principles, nested Monte Carlo strategies, and GPU optimizations
DOI10.1142/S0219024918500309zbMATH Open1416.91398WikidataQ129751920 ScholiaQ129751920MaRDI QIDQ4686502FDOQ4686502
Authors: Lokman A. Abbas-Turki, Stéphane Crépey, Babacar Diallo 
Publication date: 10 October 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Recommendations
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Computational methods for problems pertaining to game theory, economics, and finance (91-08)
Cites Work
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- Pricing and hedging in a dynamic credit model
- Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
- Combined Multiple Recursive Random Number Generators
- Coherent global market simulations and securitization measures for counterparty credit risk
Cited In (11)
- Stochastic approximation schemes for economic capital and risk margin computations
- XVA analysis from the balance sheet
- Accelerated computations of sensitivities for xVA*
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
- Pathwise CVA regressions with oversimulated defaults
- Wealth transfers, indifference pricing, and XVA compression schemes
- Sparse grid method for highly efficient computation of exposures for xVA
- Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
- Stability of backward stochastic differential equations: the general Lipschitz case
- Positive XVAs
- An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA
Uses Software
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