XVA principles, nested Monte Carlo strategies, and GPU optimizations
Lokman A. Abbas-Turki, Stéphane Crépey and Babacar Diallo
| Year of publication: |
September 2018
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|---|---|
| Authors: | Abbas-Turki, Lokman A. ; Crépey, Stéphane ; Diallo, Babacar |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 6, p. 1-40
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| Subject: | X-valuation adjustment (XVA) | nested Monte Carlo (NMC) | graphics processing units (GPU) | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500309 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011926570