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