"Accelerated computations of sensitivities for xVA."

Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf (2024)

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DOI: 10.1080/00207160.2023.2203277

access: closed

type: Journal Article

metadata version: 2025-05-01

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Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf:
Accelerated computations of sensitivities for xVA. Int. J. Comput. Math. 101(8): 842-864 (2024)

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