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q-fin.PR2021★ 2 cited
Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
Lorenzo Silotto, Marco Scaringi, Marco Bianchetti
Valuation adjustments, collectively named XVA, play an important role in modern derivatives pricing to take into account additional price components such as counterparty and fundin…
q-fin.PR2021
Learning Bermudans
Riccardo Aiolfi, Nicola Moreni, Marco Bianchetti +2
American and Bermudan-type financial instruments are often priced with specific Monte Carlo techniques whose efficiency critically depends on the effective dimensionality of the pr…