2020-02-19
An SGBM-XVA demonstrator: A scalable Python tool for pricing XVA
Publication
Publication
Journal of Mathematics in Industry , Volume 10 p. 7
In this work, we developed a Python demonstrator for pricing total valuation adjustment (XVA) based on the stochastic grid bundling method (SGBM). XVA is an advanced risk management concept which became relevant after the recent financial crisis. This work is a follow-up work on Chau and Oosterlee in (Int J Comput Math 96(11):2272–2301, 2019), in which we extended SGBM to numerically solving backward stochastic differential equations (BSDEs). The motivation for this work is basically two-fold. On the application side, by focusing on a particular financial application of BSDEs, we can show the potential of using SGBM on a real-world risk management problem. On the implementation side, we explore the potential of developing a simple yet highly efficient code with SGBM by incorporating CUDA Python into our program.
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| doi.org/10.1186/s13362-020-00073-5 | |
| Journal of Mathematics in Industry | |
| Applied mathematics for risk measures in finance and insurance, in the wake of the crisis | |
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Chau, K., Tang, J., & Oosterlee, K. (2020). An SGBM-XVA demonstrator: A scalable Python tool for pricing XVA. Journal of Mathematics in Industry, 10. doi:10.1186/s13362-020-00073-5 |
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