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Accelerating CVA and CVA Sensitivities Using Quasi-Monte Carlo Methods

Renzitti, Stefano; Bastani, Pouya; Sivorot, Steven - 2021

We compare the efficiency of quasi-Monte Carlo (QMC) methods to classical Monte Carlo (MC) method and MC with antithetic sampling in computing credit valuation adjustment (CVA) and CVA sensitivities for various portfolios of interest rate swaps using a multi-currency extension to the Hull-White...

Persistent link: https://www.econbiz.de/10013322249

A Little Learning

Tudball, Dan - In: Wilmott 2021 (2021) 113, pp. 2-3

Persistent link: https://www.econbiz.de/10012633561

Climate Models : Time for a Sanity Check?

Brown, Aaron - In: Wilmott 2021 (2021) 113, pp. 8-11

Persistent link: https://www.econbiz.de/10012633562

Non‐numerical Recipes

Poulsen, Rolf - In: Wilmott 2021 (2021) 113, pp. 12-13

Persistent link: https://www.econbiz.de/10012633563

Vedic Mathematics ‐ Teaching an Old Dog New Tricks

Wystup, Uwe - In: Wilmott 2021 (2021) 113, pp. 14-17

Persistent link: https://www.econbiz.de/10012633564

High‐Frequency Trading and Financial Time‐Series Prediction with Spiking Neural Networks

Gao, Kang; Luk, Wayne; Weston, Stephen - In: Wilmott 2021 (2021) 113, pp. 18-33

Persistent link: https://www.econbiz.de/10012633565

The COVID‐19 NFL Playoffs and Super Bowl 2020–2021

MacLean, Len; Ziemba, Bill - In: Wilmott 2021 (2021) 113, pp. 34-49

Persistent link: https://www.econbiz.de/10012633566

SABR Models for Synthetic FX Rates

Hagan, Patrick S.; Lewsniewski, Andrew S.; Skoufis, G. E.; … - In: Wilmott 2021 (2021) 113, pp. 50-61

Persistent link: https://www.econbiz.de/10012633567

Pricing and Rick Analysis in Hyperbolic Local Volatility Model with Quasi‐Monte Carlo

Hok, Julien; Kucherenko, Sergei - In: Wilmott 2021 (2021) 113, pp. 62-69

Persistent link: https://www.econbiz.de/10012633568

Radley, Milford - In: Wilmott 2021 (2021) 113, pp. 70-71

Persistent link: https://www.econbiz.de/10012633569

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