2 papers
q-fin.MF2025
The fundamental representation of pricing adjustments
Benedict Burnett, Ryan McCrickerd, Benjamin Piau
This article consolidates and extends past work on derivative pricing adjustments, including XVA, by providing an encapsulating representation of the adjustment between any two der…
math.NA2022
Stability Analysis and Performance Evaluation of Mixed-Precision Runge-Kutta Methods
Ben Burnett, Sigal Gottlieb, Zachary J. Grant
Additive Runge-Kutta methods designed for preserving highly accurate solutions in mixed-precision computation were proposed and analyzed in 4. These specially designed methods use…