XVA principles, nested Monte Carlo strategies, and GPU optimizations

DOI10.1142/S0219024918500309MaRDI QIDQ4686502zbMATH OpenWikidataFDO

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)

zbMATH Keywords

graphics processing units (GPU)nested Monte Carlo (NMC)X-valuation adjustment (XVA)

Mathematics Subject Classification ID

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)

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Cites work

• A regression-based Monte Carlo method to solve backward stochastic differential equations
• An analysis of a least squares regression method for American option pricing
• Analytical Approximations of BSDEs with Nonsmooth Driver
• Analytical approximation for non-linear FBSDEs with perturbation scheme
• Arbitrage-free XVA
• Coherent global market simulations and securitization measures for counterparty credit risk
• Combined Multiple Recursive Random Number Generators
• Convergence rates and asymptotic normality for series estimators
• Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
• Counterparty risk and funding: immersion and beyond
• Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
• Financial modeling. A backward stochastic differential equations perspective
• Multilevel Monte Carlo Path Simulation
• Nested simulation in portfolio risk measurement
• Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives
• Pricing and hedging in a dynamic credit model
• Quasi-regression
• Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
• The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
• Toward a coherent Monte Carlo simulation of CVA

Cited in

(11)

• Accelerated computations of sensitivities for xVA*
• Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
• Stochastic approximation schemes for economic capital and risk margin computations
• Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
• Positive XVAs
• XVA analysis from the balance sheet
• An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA
• Stability of backward stochastic differential equations: the general Lipschitz case
• 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

Describes a project that uses

Uses Software

• CUDA

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