66 citations · 77 across the 21 of their papers we have counts for
Showing 2020Show all
2 papers · 1 filter
math.NA2020★ 2 cited
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations
Shuaiqiang Liu, Lech A. Grzelak, Cornelis W. Oosterlee
We propose an accurate data-driven numerical scheme to solve Stochastic Differential Equations (SDEs), by taking large time steps. The SDE discretization is built up by means of a…
q-fin.CP2020★ 1 cited
A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting
T. van der Zwaard, L. A. Grzelak, C. W. Oosterlee
This study contributes to understanding Valuation Adjustments (xVA) by focussing on the dynamic hedging of Credit Valuation Adjustment (CVA), corresponding Profit & Loss (P&L) and…