An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA

DOI10.1186/s13362-020-00073-5zbMath1471.91617OpenAlexW3009327968WikidataQ113241741 ScholiaQ113241741MaRDI QIDQ1980957

K. W. Chau, Cornelis W. Oosterlee, J. M. Tang

Publication date: 9 September 2021

Published in: Journal of Mathematics in Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13362-020-00073-5

zbMATH Keywords

XVACUDA pythonSGBM

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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