AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks.
Luca CapriottiYupeng JiangAndrea MacrinaPublished in: Algorithmic Finance (2017)
Keyphrases
- monte carlo
- least squares
- markov chain
- importance sampling
- matrix inversion
- monte carlo simulation
- stochastic approximation
- simulation study
- markovian decision
- monte carlo method
- monte carlo methods
- parameter estimation
- monte carlo tree search
- adaptive sampling
- optimal strategy
- particle filter
- optical flow
- game tree search
- variance reduction
- reinforcement learning
- point processes
- machine learning