Valuation Adjustments for Improved Risk Management November 2018 - October 2022
Collection
Collection
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Joint and survivor annuity valuation with a bivariate reinforced urn process Article
Insurance: Mathematics and Economics, 174-189.July 2021
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Deep learning for CVA computations of large portfolios of financial derivatives Article
Applied Mathematics and ComputationNovember 2021
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GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations Tech Report
S. Liu (Shuaiqiang), G. Colonna (Graziana), L.A. Grzelak (Lech Aleksander) and C.W. Oosterlee (Kees)
February 2023