Financial institutions now face the important challenge of having to do multiple portfolio revaluations for their risk computation. The list is almost endless: from XVAs to FRTB, stress testing programs, etc. These computations require from several hundred up to a few million revaluations. The...

"The computational demand of risk calculations in financial institutions has ballooned. Traditionally, this has led to the acquisition of more and more computer power -- some banks have farms in the order of 50,000 CPUs, with running costs in the multimillions of dollars -- but this path is no...

Cover -- Title Page -- Copyright Page -- Contents -- Acknowledgements -- Foreword -- Motivation and aim of this book -- Part One Fundamental Approximation Methods -- Chapter 1 Machine Learning -- 1.1 Introduction to Machine Learning -- 1.1.1 A brief history of Machine Learning Methods -- 1.1.2...