LSM Reloaded: Differentiate xVA on your iPad Mini
Research output: Working paper › Research
Standard
LSM Reloaded : Differentiate xVA on your iPad Mini. / Huge, Brian Norsk; Savine, Antoine.
Social Science Research Network (SSRN), 2017.Research output: Working paper › Research
Harvard
Huge, BN & Savine, A 2017 'LSM Reloaded: Differentiate xVA on your iPad Mini' Social Science Research Network (SSRN). https://doi.org/10.2139/ssrn.2966155
APA
Huge, B. N., & Savine, A. (2017). LSM Reloaded: Differentiate xVA on your iPad Mini. Social Science Research Network (SSRN). https://doi.org/10.2139/ssrn.2966155
Vancouver
Huge BN, Savine A. LSM Reloaded: Differentiate xVA on your iPad Mini. Social Science Research Network (SSRN). 2017 May 10. https://doi.org/10.2139/ssrn.2966155
Author
Bibtex
@techreport{6ef910fec7954ce38d5b8f2887b67bbf,
title = "LSM Reloaded: Differentiate xVA on your iPad Mini",
keywords = "Antoine Savine, Brian Huge, automatic differentiation, Monte-Carlo, financial simulations, risk management, derivatives, LSM, AAD, xVA, check-pointing",
author = "Huge, {Brian Norsk} and Antoine Savine",
year = "2017",
month = may,
day = "10",
doi = "10.2139/ssrn.2966155",
language = "English",
volume = "2017",
publisher = "Social Science Research Network (SSRN)",
type = "WorkingPaper",
institution = "Social Science Research Network (SSRN)",
}
RIS
TY - UNPB
T1 - LSM Reloaded
T2 - Differentiate xVA on your iPad Mini
AU - Huge, Brian Norsk
AU - Savine, Antoine
PY - 2017/5/10
Y1 - 2017/5/10
KW - Antoine Savine
KW - Brian Huge
KW - automatic differentiation
KW - Monte-Carlo
KW - financial simulations
KW - risk management
KW - derivatives
KW - LSM
KW - AAD
KW - xVA
KW - check-pointing
U2 - 10.2139/ssrn.2966155
DO - 10.2139/ssrn.2966155
M3 - Working paper
VL - 2017
BT - LSM Reloaded
PB - Social Science Research Network (SSRN)
ER -
ID: 210017520