News
From arXiv
Wilmott picks the most interesting new submissions from the arXiv qfin list so you don’t have to […]
XVA
Articles
Eureka! The XVA Compute Challenge Solved
XVA sees your trading book valuation problem and raises it by whatever magnitude induces hyperventilation. Ryan Ferguson discusses how a moment of inspiration led to total domination of the XVA compute problem […]
Editor's Blog
CCR KVA Relief Through CVA, Homotopy Analysis for SABR and XVA, R for ML: Self Organising Maps for Risk Analysis
In ‘CCR KVA Relief through CVA: a Regression-based Monte Carlo Approach’, published in the January 2019 issue of Wilmott Magazine, Christoph M. Puetter, Stefano Renzitti, Allan Cowan present and examine, by example of a USD […]