Evolutionary algos for optimising MVA

Alexei Kondratyev, George Giorgidze
14 Dec 2017

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The reduction of initial margin costs, reflected in the margin valuation adjustment (MVA) of a trade, is a complex non-linear optimisation problem. Here, Alexei Kondratyev and George Giorgidze apply two popular evolutionary algorithms used in the field of machine learning – genetic algorithm and particle swarm optimisation – to optimise MVA

Abstract The reduction of initial margin costs, reflected in the margin valuation adjustment (MVA) of a trade, is a complex

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