Deep learning for CVA computations of large portfolios of financial derivatives
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- Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "Deep learning for CVA computations of large portfolios of financial derivatives," Applied Mathematics and Computation, Elsevier, vol. 409(C).
References listed on IDEAS
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- Glau, Kathrin & Wunderlich, Linus, 2022. "The deep parametric PDE method and applications to option pricing," Applied Mathematics and Computation, Elsevier, vol. 432(C).
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2020-11-16 (Computational Economics)
- NEP-FMK-2020-11-16 (Financial Markets)
- NEP-RMG-2020-11-16 (Risk Management)
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