Pathwise CVA regressions with oversimulated defaults-Reference-Cited by-同舟云学术

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Pathwise CVA regressions with oversimulated defaults

Published:2022-12-23 Issue:2 Volume:33 Page:274-307
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Abbas‐Turki Lokman A.¹,Crépey Stéphane²,Saadeddine Bouazza³⁴^ORCID

Affiliation:

1. Laboratoire de Probabilités et Modèles Aléatoires Sorbonne Université, CNRS UMR 8001 Paris France

2. Laboratoire de Probabilités et Modèles Aléatoires Université Paris Cité, CNRS UMR 8001 Paris France

3. Laboratoire de Mathématiques et Modélisation d'Évry Université Paris‐Saclay, Univ Evry, CNRS UMR 8001 Evry France

4. Crédit Agricole CIB Quantitative Research GMD/GMT Paris France

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12368

Reference35 articles.

1. XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS

2. Pricing derivatives on graphics processing units using Monte Carlo simulation

3. XVA analysis from the balance sheet

4. Random search for hyper‐parameter optimization;Bergstra J.;Journal of Machine Learning Research,2012

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