An SGBM-XVA demonstrator a scalable Python tool for pricing XVA

Chau, K.W.; Tang, J.M.; Oosterlee, C.W.

An SGBM-XVA demonstrator a scalable Python tool for pricing XVA

article

2020

Chau, K.W.

Tang, J.M.

Oosterlee, C.W.

Topics

CUDA Python SGBM XVA Costs Differential equations High level languages Risk management Stochastic systems Backward stochastic differential equations Bundling method CUDA Python Financial applications Financial crisis Management problems Real-world SGBM Computer software

TNO Identifier

955227

Repository link

https://resolver.tno.nl/uuid:08a91a7e-b4bc-4496-a66c-e32105d48daa

ISSN

21905983

Source

Journal of Mathematics in Industry, 10(1)

Publisher

Springer

Article nr.

7

Files

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An SGBM-XVA demonstrator a scalable Python tool for pricing XVA

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