XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS
Lokman A. Abbas-Turki,
Stéphane Crépey () and
Additional contact information
Lokman A. Abbas-Turki: Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre-et-Marie Curie, UMR 7599, France
Stéphane Crépey: #x2020;LaMME, Université d’Evry, CNRS, Université Paris-Saclay, 91037, Evry, France
Babacar Diallo: Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre-et-Marie Curie, UMR 7599, France†LaMME, Université d’Evry, CNRS, Université Paris-Saclay, 91037, Evry, France‡Quantitative Research GMD/GMT Crédit Agricole, CIB 92160, Montrouge, France
International Journal of Theoretical and Applied Finance (IJTAF), 2018, vol. 21, issue 06, 1-40
We present a nested Monte Carlo (NMC) approach implemented on graphics processing units (GPUs) to X-valuation adjustments (XVAs), where X ranges over C for credit, F for funding, M for margin, and K for capital. The overall XVA suite involves five compound layers of dependence. Higher layers are launched first, and trigger nested simulations on-the-fly whenever required in order to compute an item from a lower layer. If the user is only interested in some of the XVA components, then only the sub-tree corresponding to the most outer XVA needs be processed computationally. Inner layers only need a square root number of simulation with respect to the most outer layer. Some of the layers exhibit a smaller variance. As a result, with GPUs at least, error-controlled NMC XVA computations are doable. But, although NMC is naively suited to parallelization, a GPU implementation of NMC XVA computations requires various optimizations. This is illustrated on XVA computations involving equities, interest rate, and credit derivatives, for both bilateral and central clearing XVA metrics.
Keywords: X-valuation adjustment (XVA); nested Monte Carlo (NMC); graphics processing units (GPU) (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500309
Ordering information: This journal article can be ordered from
Access Statistics for this article
International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston
More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().