AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks

DOI10.3233/AF-170201zbMath1395.91492MaRDI QIDQ4586457

Andrea Macrina, Luca Capriotti, Yupeng Jiang

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo methodsadjoint algorithmic differentiation (AAD)Bermudan-style optionsvaluation adjustments (XVA)

Mathematics Subject Classification ID

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

Related Items (5)

Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions) ⋮ KrigHedge: Gaussian Process Surrogates for Delta Hedging ⋮ Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing ⋮ Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations

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