CVA and IM: welcome to the machine
Henry-Labordere proposes a neural networks-based technique to price counterparty risk and initial margin
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Building heavily on recent work, Pierre Henry-Labordère introduces a primal-dual method for solving backward stochastic differential equations based on the use of neural networks, stochastic gradient descent and a dual formulation of stochastic control problems. The algorithm is illustrated using two examples relevant to mathematical finance: the pricing of counterparty risk and the computation of initial margin
Solving numerically high-dimensional, non-linear
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