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

Title

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

Author

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

Publication year

2020

Subject

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

To reference this document use:

http://resolver.tudelft.nl/uuid:08a91a7e-b4bc-4496-a66c-e32105d48daa

TNO identifier

955227

Publisher

Springer

ISSN

2190-5983

Source

Journal of Mathematics in Industry, 10 (10)

Document type

article