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

2020 Savine-Huge Differential Machine Learning

https://www.risk.net/our-take/7691456/danske-quants-discover-speedier-way-to-crunch-xvas

https://en.wikipedia.org/wiki/Graphics_processing_unit#External_GPU_(eGPU)

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

vendors

• https://www.nag.com/content/nagr-automatic-differentiation-solutions

https://www.nag.com/doc/techrep/pdf/tr3_14.pdf

• https://matlogica.com/

• https://www.compatibl.com/insights/adjoint-algorithmic-differentiation-under-frtb-regulation/