LSM Reloaded: Differentiate xVA on your iPad Mini

Brian Norsk Huge; Antoine Savine

doi:10.2139/ssrn.2966155

LSM Reloaded: Differentiate xVA on your iPad Mini

Brian Norsk Huge, Antoine Savine

Department of Mathematical Sciences

Research output: Working paper › Research

Original language	English
Publisher	Social Science Research Network (SSRN)
Volume	2017
Number of pages	46
DOIs	https://doi.org/10.2139/ssrn.2966155
Publication status	Published - 10 May 2017

Keywords

Antoine Savine
Brian Huge
automatic differentiation
Monte-Carlo
financial simulations
risk management
derivatives
LSM
AAD
xVA
check-pointing

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10.2139/ssrn.2966155

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Cite this

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