{"id":"https://openalex.org/W2804354687","doi":"https://doi.org/10.1142/s0219024918500309","title":"XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS","display_name":"XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS","publication_year":2018,"publication_date":"2018-05-27","ids":{"openalex":"https://openalex.org/W2804354687","doi":"https://doi.org/10.1142/s0219024918500309","mag":"2804354687"},"language":"en","primary_location":{"id":"doi:10.1142/s0219024918500309","doi":"https://doi.org/10.1142/s0219024918500309","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219024918500309","pdf_url":null,"source":{"id":"https://openalex.org/S173574685","display_name":"International Journal of Theoretical and Applied Finance","issn_l":"0219-0249","issn":["0219-0249","1793-6322"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Theoretical and Applied Finance","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hal.science/hal-01714747","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5051157197","display_name":"Lokman Abbas-Turki","orcid":"https://orcid.org/0000-0002-2150-7623","observed_orcids":["https://orcid.org/0000-0002-2150-7623"]},"institutions":[{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464","https://openalex.org/I4387155306"]},{"id":"https://openalex.org/I4405264447","display_name":"Universit\u00e9 Pierre-et-Marie-Curie","ror":"https://ror.org/01yvrd251","country_code":"FR","type":"education","lineage":["https://openalex.org/I39804081","https://openalex.org/I4405264447"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"LOKMAN A. ABBAS-TURKI","raw_affiliation_strings":["Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires, Universit\u00e9 Pierre-et-Marie Curie, UMR 7599, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires, Universit\u00e9 Pierre-et-Marie Curie, UMR 7599, France","institution_ids":["https://openalex.org/I4210147464","https://openalex.org/I4405264447"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5081229081","display_name":"St\u00e9phane Cr\u00e9pey","orcid":"https://orcid.org/0000-0001-9409-1748","observed_orcids":["https://orcid.org/0000-0001-9409-1748"]},"institutions":[{"id":"https://openalex.org/I1294671590","display_name":"Centre National de la Recherche Scientifique","ror":"https://ror.org/02feahw73","country_code":"FR","type":"government","lineage":["https://openalex.org/I1294671590"]},{"id":"https://openalex.org/I277688954","display_name":"Universit\u00e9 Paris-Saclay","ror":"https://ror.org/03xjwb503","country_code":"FR","type":"education","lineage":["https://openalex.org/I277688954"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"ST\u00c9PHANE CR\u00c9PEY","raw_affiliation_strings":["LaMME, Universit\u00e9 d\u2019Evry, CNRS, Universit\u00e9 Paris-Saclay, 91037, Evry, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"LaMME, Universit\u00e9 d\u2019Evry, CNRS, Universit\u00e9 Paris-Saclay, 91037, Evry, France","institution_ids":["https://openalex.org/I1294671590","https://openalex.org/I277688954"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5075950014","display_name":"Babacar Diallo","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I1294671590","display_name":"Centre National de la Recherche Scientifique","ror":"https://ror.org/02feahw73","country_code":"FR","type":"government","lineage":["https://openalex.org/I1294671590"]},{"id":"https://openalex.org/I277688954","display_name":"Universit\u00e9 Paris-Saclay","ror":"https://ror.org/03xjwb503","country_code":"FR","type":"education","lineage":["https://openalex.org/I277688954"]},{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464","https://openalex.org/I4387155306"]},{"id":"https://openalex.org/I4405264447","display_name":"Universit\u00e9 Pierre-et-Marie-Curie","ror":"https://ror.org/01yvrd251","country_code":"FR","type":"education","lineage":["https://openalex.org/I39804081","https://openalex.org/I4405264447"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"BABACAR DIALLO","raw_affiliation_strings":["LaMME, Universit\u00e9 d\u2019Evry, CNRS, Universit\u00e9 Paris-Saclay, 91037, Evry, France","Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires, Universit\u00e9 Pierre-et-Marie Curie, UMR 7599, France","Quantitative Research GMD/GMT Cr\u00e9dit Agricole, CIB 92160, Montrouge, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"LaMME, Universit\u00e9 d\u2019Evry, CNRS, Universit\u00e9 Paris-Saclay, 91037, Evry, France","institution_ids":["https://openalex.org/I1294671590","https://openalex.org/I277688954"]},{"raw_affiliation_string":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires, Universit\u00e9 Pierre-et-Marie Curie, UMR 7599, France","institution_ids":["https://openalex.org/I4210147464","https://openalex.org/I4405264447"]},{"raw_affiliation_string":"Quantitative Research GMD/GMT Cr\u00e9dit Agricole, CIB 92160, Montrouge, France","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.6396,"has_fulltext":false,"cited_by_count":17,"citation_normalized_percentile":{"value":0.90314762,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":87,"max":98},"biblio":{"volume":"21","issue":"06","first_page":"1850030","last_page":"1850030"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9804999828338623,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9804999828338623,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.005200000014156103,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.0008999999845400453,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/gpu-computing","display_name":"GPU computing","score":0.5960000157356262},{"id":"https://openalex.org/keywords/credit-valuation-adjustment","display_name":"credit valuation adjustment","score":0.9430000185966492},{"id":"https://openalex.org/keywords/funding-valuation-adjustment","display_name":"funding valuation adjustment","score":0.9890000224113464},{"id":"https://openalex.org/keywords/variance-reduction","display_name":"variance reduction","score":0.6389999985694885},{"id":"https://openalex.org/keywords/parallel-simulation","display_name":"parallel simulation","score":0.5109999775886536},{"id":"https://openalex.org/keywords/credit-derivatives","display_name":"credit derivatives","score":0.7490000128746033},{"id":"https://openalex.org/keywords/interest-rate-derivatives","display_name":"interest rate derivatives","score":0.9599999785423279},{"id":"https://openalex.org/keywords/central-clearing","display_name":"central clearing","score":0.8840000033378601},{"id":"https://openalex.org/keywords/error-control","display_name":"error control","score":0.4180000126361847}],"concepts":[{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.7121791839599609},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6023489832878113},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.5554389953613281},{"id":"https://openalex.org/C774472","wikidata":"https://www.wikidata.org/wiki/Q6760393","display_name":"Margin (machine learning)","level":2,"score":0.48011088371276855},{"id":"https://openalex.org/C21442007","wikidata":"https://www.wikidata.org/wiki/Q1027879","display_name":"Graphics","level":2,"score":0.41738489270210266},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.41407260298728943},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.31192874908447266},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.19563612341880798},{"id":"https://openalex.org/C121684516","wikidata":"https://www.wikidata.org/wiki/Q7600677","display_name":"Computer graphics (images)","level":1,"score":0.18778476119041443},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1629631519317627},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.07670646905899048}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1142/s0219024918500309","doi":"https://doi.org/10.1142/s0219024918500309","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219024918500309","pdf_url":null,"source":{"id":"https://openalex.org/S173574685","display_name":"International Journal of Theoretical and Applied Finance","issn_l":"0219-0249","issn":["0219-0249","1793-6322"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Theoretical and Applied Finance","raw_type":"journal-article"},{"id":"pmh:oai:HAL:hal-01714747v1","doi":null,"is_oa":true,"landing_page_url":"https://hal.science/hal-01714747","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4405252976","host_organization_name":"Centre pour la Communication Scientifique Directe","host_organization_lineage":["https://openalex.org/I4405252976"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"2018","raw_type":"info:eu-repo/semantics/preprint"},{"id":"pmh:oai:RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500309","doi":null,"is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S0219024918500309","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:HAL:hal-01714747v1","doi":null,"is_oa":true,"landing_page_url":"https://hal.science/hal-01714747","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4405252976","host_organization_name":"Centre pour la Communication Scientifique Directe","host_organization_lineage":["https://openalex.org/I4405252976"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"2018","raw_type":"info:eu-repo/semantics/preprint"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":31,"referenced_works":["https://openalex.org/W1981787851","https://openalex.org/W1999185821","https://openalex.org/W2012455789","https://openalex.org/W2043281212","https://openalex.org/W2062537637","https://openalex.org/W2091595001","https://openalex.org/W2109142625","https://openalex.org/W2126311658","https://openalex.org/W2133193573","https://openalex.org/W2133608028","https://openalex.org/W2158036201","https://openalex.org/W2163715525","https://openalex.org/W2261553819","https://openalex.org/W2289378561","https://openalex.org/W2473225945","https://openalex.org/W2476869282","https://openalex.org/W2492132491","https://openalex.org/W2505975651","https://openalex.org/W2557591751","https://openalex.org/W2605427174","https://openalex.org/W2625623352","https://openalex.org/W3022760636","https://openalex.org/W3121633110","https://openalex.org/W3122086254","https://openalex.org/W3124613937","https://openalex.org/W3124957480","https://openalex.org/W3125539173","https://openalex.org/W4232415112","https://openalex.org/W4235593702","https://openalex.org/W4239769616","https://openalex.org/W4252591871"],"related_works":["https://openalex.org/W7148638173","https://openalex.org/W7134410761","https://openalex.org/W4317437747","https://openalex.org/W2491567656","https://openalex.org/W2570225216","https://openalex.org/W4380611782","https://openalex.org/W4407942306","https://openalex.org/W2533012001","https://openalex.org/W4379880861","https://openalex.org/W1981787851"],"abstract_inverted_index":{"We":[0],"present":[1],"a":[2,64,97,115,119,139],"nested":[3,52],"Monte":[4],"Carlo":[5],"(NMC)":[6],"approach":[7],"implemented":[8],"on":[9,152],"graphics":[10],"processing":[11],"units":[12],"(GPUs)":[13],"to":[14,59,84,105,137],"X-valuation":[15],"adjustments":[16],"(XVAs),":[17],"where":[18],"X":[19],"ranges":[20],"over":[21],"C":[22],"for":[23,26,29,33,162],"credit,":[24],"F":[25],"funding,":[27],"M":[28],"margin,":[30],"and":[31,50,159,165],"K":[32],"capital.":[34],"The":[35],"overall":[36],"XVA":[37,77,88,127,144,153,168],"suite":[38],"involves":[39],"five":[40],"compound":[41],"layers":[42,46,94,113],"of":[43,75,101,111,142],"dependence.":[44],"Higher":[45],"are":[47,129],"launched":[48],"first,":[49],"trigger":[51],"simulations":[53],"on-the-fly":[54],"whenever":[55],"required":[56],"in":[57,73],"order":[58],"compute":[60],"an":[61],"item":[62],"from":[63],"lower":[65],"layer.":[66,109],"If":[67],"the":[68,76,81,85,106,112],"user":[69],"is":[70,134,150],"only":[71,80,95],"interested":[72],"some":[74],"components,":[78],"then":[79],"sub-tree":[82],"corresponding":[83],"most":[86,107],"outer":[87,108],"needs":[89],"be":[90],"processed":[91],"computationally.":[92],"Inner":[93],"need":[96],"square":[98],"root":[99],"number":[100],"simulation":[102],"with":[103,121],"respect":[104],"Some":[110],"exhibit":[114],"smaller":[116],"variance.":[117],"As":[118],"result,":[120],"GPUs":[122],"at":[123],"least,":[124],"error-controlled":[125],"NMC":[126,133,143],"computations":[128,145,154],"doable.":[130],"But,":[131],"although":[132],"naively":[135],"suited":[136],"parallelization,":[138],"GPU":[140],"implementation":[141],"requires":[146],"various":[147],"optimizations.":[148],"This":[149],"illustrated":[151],"involving":[155],"equities,":[156],"interest":[157],"rate,":[158],"credit":[160],"derivatives,":[161],"both":[163],"bilateral":[164],"central":[166],"clearing":[167],"metrics.":[169]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":2}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2018-06-01T00:00:00"}
