kwchau / sgbm_xvaView external linksLinks
This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations (BSDE) (see https://arxiv.org/abs/1801.05180), using the particular case of XVA calculation with Black-Scholes model.
☆12Nov 19, 2018Updated 7 years ago
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