Neural Network for CVA: Learning Future Values
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References listed on IDEAS
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
- Yann LeCun & Yoshua Bengio & Geoffrey Hinton, 2015. "Deep learning," Nature, Nature, vol. 521(7553), pages 436-444, May.
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
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Cited by:
- Jeong Yu Han & Patrick Rebentrost, 2022. "Quantum advantage for multi-option portfolio pricing and valuation adjustments," Papers 2203.04924, arXiv.org.
- King, Elizabeth M. & Randolph, Hannah L. & Floro, Maria S. & Suh, Jooyeoun, 2021. "Demographic, health, and economic transitions and the future care burden," World Development, Elsevier, vol. 140(C).
- Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2022. "Computing XVA for American basket derivatives by Machine Learning techniques," Papers 2209.06485, arXiv.org.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2018-12-03 (Big Data)
- NEP-CMP-2018-12-03 (Computational Economics)
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