57 citations · 61 across the 14 of their papers we have counts for
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q-fin.MF2020★ 2 cited
Deep xVA solver -- A neural network based counterparty credit risk management framework
Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger
In this paper, we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes tradit…
math.OC2020
Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
Athena Picarelli, Christoph Reisinger
We consider a Markov chain approximation scheme for utility maximization problems in continuous time, which uses, in turn, a piecewise constant policy approximation, Euler-Maruyama…