Evolutionary algos for optimising MVA

Alexei Kondratyev and George Giorgidze apply two evolutionary algos to MVA optimisation

CLICK HERE TO VIEW THE PDF

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