Fast Stochastic Forward Sensitivities in Monte-Carlo Simulations Using Stochastic Automatic Differentiation (with Applications to Initial Margin Valuation Adjustments (MVA))
2019 ◽
Vol 19
(6)
◽
pp. 1043-1059
◽
2019 ◽
Vol 22
(4)
◽
pp. 103-125
◽
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Keyword(s):
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