LSM Reloaded: Differentiate xVA on your iPad Mini

Research output: Working paperResearch

Original languageEnglish
PublisherSocial Science Research Network (SSRN)
Volume2017
Number of pages46
DOIs
Publication statusPublished - 10 May 2017

    Research areas

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

ID: 210017520