LSM Reloaded: Differentiate xVA on your iPad Mini
Research output: Working paper › Research
| Original language | English |
|---|---|
| Publisher | Social Science Research Network (SSRN) |
| Volume | 2017 |
| Number of pages | 46 |
| DOIs | |
| Publication status | Published - 10 May 2017 |
- Antoine Savine, Brian Huge, automatic differentiation, Monte-Carlo, financial simulations, risk management, derivatives, LSM, AAD, xVA, check-pointing
Research areas
ID: 210017520