2 citations · 6 across the 7 of their papers we have counts for
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q-fin.RM2020★ 1 cited
Deep learning for CVA computations of large portfolios of financial derivatives
Kristoffer Andersson, Cornelis W. Oosterlee
In this paper, we propose a neural network-based method for CVA computations of a portfolio of derivatives. In particular, we focus on portfolios consisting of a combination of der…
q-fin.CP2020
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
Kristoffer Andersson, Cornelis Oosterlee
In this paper, we propose a neural network-based method for approximating expected exposures and potential future exposures of Bermudan options. In a first phase, the method relies…