XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS

DOI10.1142/S0219024918500309zbMath1416.91398WikidataQ129751920 ScholiaQ129751920MaRDI QIDQ4686502

Stéphane Crépey, Lokman A. Abbas-Turki, 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

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (8)

Sparse grid method for highly efficient computation of exposures for xVA ⋮ Pathwise CVA regressions with oversimulated defaults ⋮ Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ Wealth Transfers, Indifference Pricing, and XVA Compression Schemes ⋮ Stochastic approximation schemes for economic capital and risk margin computations ⋮ Positive XVAs ⋮ XVA analysis from the balance sheet

Uses Software

• CUDA

Cites Work

• Unnamed Item
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• Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches

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