AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks
Author:
Affiliation:
1. Quantitative Strategies, Global Markets, Credit Suisse Group, One Cabot Square, London, UK
2. Department of Mathematics, University College London, London, UK
3. Department of Actuarial Science, University of Cape Town, Rondebosch, South Africa
Publisher
IOS Press
Subject
Computational Mathematics,Computer Science Applications,Computer Vision and Pattern Recognition,Finance
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5. Fast greeks by algorithmic differentiation;Capriotti;Journal of Computational Finance,2011
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