# CVA calculations


## AAD

- Green-Kenyon https://discovery.ucl.ac.uk/id/eprint/10140254/1/2015-08%20RISK%20efficient%20xva.pdf

http://luca-capriotti.net/pdfs/Finance/jcf_capriotti_press_web.pdf

introductory
https://www.imperial.ac.uk/media/imperial-college/faculty-of-natural-sciences/department-of-mathematics/math-finance/COLLAS_ANTOINE_01425804.pdf

- https://uu.diva-portal.org/smash/get/diva2:1439412/FULLTEXT02.pdf

"least-squares" MC - Longstaff-Schwartz

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## ## 2020 Savine-Huge [Differential Machine Learning](https://arxiv.org/pdf/2005.02347.pdf)
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https://www.risk.net/our-take/7691456/danske-quants-discover-speedier-way-to-crunch-xvas
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## https://en.wikipedia.org/wiki/Graphics_processing_unit#External_GPU_(eGPU)

- https://matlogica.com/assets/publications/aad-breaking-the-primal-barrier.pdf





# Parents

* XVA (valuation adjustments for derivatives)