XVA Techniques and Advancements agenda
We've got a whole stream of content focused on XVA techniques and advancements on Thursday 16 May. Key topics under discussion include:
- Holistic view of XVAs: what are the combined effects of XVAs on pricing?
- Reinforcement learning for marginal KVA pricing
- Regression vs nested Monte Carlo AAD + GPU Grid for KVA – complexity / cost / accuracy tradeoff
- A new approach to KVA
- To what extent can MVA be passed on to clients and in what circumstances?
- Efficient MVA by backward differentiation
- Deep learning derivatives
Why Not Also Attend:
Monday 13 May 2019
Position yourself to take the next disruptive financial steps by learning specific applications of the latest game-changing innovations that directly impact the quant function.
Key focuses of the summit will include practical applications of quantum computing, machine learning, blockchain and high performance computing.
Demystifying ADD: Adjoint Greeks Made Easy
Friday 17 May 2019
- Luca Capriotti, Managing Director - Head Quantitative Strategies Global Credit Products EMEA, CREDIT SUISSE
- Uwe Naumann, Professor of Computer Science, RWTH AACHEN UNIVERSITY
- Mike Giles, Professor of Mathematics and Department Head, OXFORD UNIVERSITY
Modules will include the particle method for smile calibration, stochastic control techniques & applications, machine learning techniques for option pricing and model-free bounds for option prices.