{"id":"https://openalex.org/W4413251724","doi":"https://doi.org/10.1007/s10287-025-00540-7","title":"Computing XVA for American basket derivatives by machine learning techniques","display_name":"Computing XVA for American basket derivatives by machine learning techniques","publication_year":2025,"publication_date":"2025-08-08","ids":{"openalex":"https://openalex.org/W4413251724","doi":"https://doi.org/10.1007/s10287-025-00540-7"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-025-00540-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-025-00540-7","pdf_url":null,"source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hal.science/hal-05421581v1/file/cms25.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5057898803","display_name":"Ludovic Gouden\u00e8ge","orcid":"https://orcid.org/0000-0002-6449-5888"},"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/I88467170","display_name":"Universit\u00e9 d'\u00c9vry Val-d'Essonne","ror":"https://ror.org/00e96v939","country_code":"FR","type":"education","lineage":["https://openalex.org/I277688954","https://openalex.org/I88467170"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Ludovic Gouden\u00e8ge","raw_affiliation_strings":["Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d\u2019\u00c9vry (LaMME), CNRS UMR 8071, Universit\u00e9 Paris-Saclay \u00c9vry, \u00c9vry Cedex, France","Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d'\u00c9vry (LaMME), CNRS UMR 8071, Universit\u00e9 Paris-Saclay \u00c9vry, \u00c9vry Cedex, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d\u2019\u00c9vry (LaMME), CNRS UMR 8071, Universit\u00e9 Paris-Saclay \u00c9vry, \u00c9vry Cedex, France","institution_ids":["https://openalex.org/I277688954","https://openalex.org/I88467170","https://openalex.org/I1294671590"]},{"raw_affiliation_string":"Laboratoire de Math\u00e9matiques et Mod\u00e9lisation d'\u00c9vry (LaMME), CNRS UMR 8071, Universit\u00e9 Paris-Saclay \u00c9vry, \u00c9vry Cedex, France","institution_ids":["https://openalex.org/I277688954","https://openalex.org/I88467170","https://openalex.org/I1294671590"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5013935166","display_name":"Andrea Molent","orcid":null},"institutions":[{"id":"https://openalex.org/I129043915","display_name":"University of Udine","ror":"https://ror.org/05ht0mh31","country_code":"IT","type":"education","lineage":["https://openalex.org/I129043915"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Andrea Molent","raw_affiliation_strings":["Dipartimento di Scienze Economiche e Statistiche, Universit\u00e0 degli Studi di Udine, Udine, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dipartimento di Scienze Economiche e Statistiche, Universit\u00e0 degli Studi di Udine, Udine, Italy","institution_ids":["https://openalex.org/I129043915"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5043863727","display_name":"Antonino Zanette","orcid":"https://orcid.org/0000-0001-5958-9014"},"institutions":[{"id":"https://openalex.org/I129043915","display_name":"University of Udine","ror":"https://ror.org/05ht0mh31","country_code":"IT","type":"education","lineage":["https://openalex.org/I129043915"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Antonino Zanette","raw_affiliation_strings":["Dipartimento di Scienze Economiche e Statistiche, Universit\u00e0 degli Studi di Udine, Udine, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dipartimento di Scienze Economiche e Statistiche, Universit\u00e0 degli Studi di Udine, Udine, Italy","institution_ids":["https://openalex.org/I129043915"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5043863727"],"corresponding_institution_ids":["https://openalex.org/I129043915"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.24600513,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"22","issue":"2","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.972599983215332,"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":0.972599983215332,"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/T11326","display_name":"Stock Market Forecasting Methods","score":0.967199981212616,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9538000226020813,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and 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"}}],"keywords":[{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6410083770751953},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.4658340811729431},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.45791688561439514}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6410083770751953},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.4658340811729431},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.45791688561439514}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10287-025-00540-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-025-00540-7","pdf_url":null,"source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:HAL:hal-05421581v1","is_oa":true,"landing_page_url":"https://hal.science/hal-05421581","pdf_url":"https://hal.science/hal-05421581v1/file/cms25.pdf","source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Computational Management Science, 2025, 22, pp.541 - 569. ⟨10.1007/s10287-025-00540-7⟩","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:air.uniud.it:11390/1310724","is_oa":false,"landing_page_url":"https://hdl.handle.net/11390/1310724","pdf_url":null,"source":{"id":"https://openalex.org/S4306401163","display_name":"Institutional Research Information System (University of Udine)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I129043915","host_organization_name":"University of Udine","host_organization_lineage":["https://openalex.org/I129043915"],"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":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:HAL:hal-05421581v1","is_oa":true,"landing_page_url":"https://hal.science/hal-05421581","pdf_url":"https://hal.science/hal-05421581v1/file/cms25.pdf","source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Computational Management Science, 2025, 22, pp.541 - 569. ⟨10.1007/s10287-025-00540-7⟩","raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320324979","display_name":"Universit\u00e0 degli Studi di Udine","ror":null}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4413251724.pdf","grobid_xml":"https://content.openalex.org/works/W4413251724.grobid-xml"},"referenced_works_count":39,"referenced_works":["https://openalex.org/W1857288043","https://openalex.org/W2137824542","https://openalex.org/W2157390830","https://openalex.org/W2581605984","https://openalex.org/W2599446604","https://openalex.org/W2625995436","https://openalex.org/W2663035201","https://openalex.org/W2739568389","https://openalex.org/W2778108844","https://openalex.org/W2791432312","https://openalex.org/W2803629276","https://openalex.org/W2804354687","https://openalex.org/W2807009064","https://openalex.org/W2884544303","https://openalex.org/W2884805384","https://openalex.org/W2965485141","https://openalex.org/W2997188511","https://openalex.org/W3003677889","https://openalex.org/W3009327968","https://openalex.org/W3033187197","https://openalex.org/W3043483664","https://openalex.org/W3044841028","https://openalex.org/W3084321921","https://openalex.org/W3099661895","https://openalex.org/W3123231293","https://openalex.org/W3123465479","https://openalex.org/W3123753597","https://openalex.org/W3124441468","https://openalex.org/W3124655310","https://openalex.org/W3134239780","https://openalex.org/W3164669176","https://openalex.org/W3176021757","https://openalex.org/W3197055922","https://openalex.org/W3203173911","https://openalex.org/W3209090943","https://openalex.org/W3215809107","https://openalex.org/W4211049957","https://openalex.org/W4247451115","https://openalex.org/W4317906215"],"related_works":["https://openalex.org/W2961085424","https://openalex.org/W4306674287","https://openalex.org/W4387369504","https://openalex.org/W4394896187","https://openalex.org/W3170094116","https://openalex.org/W4386462264","https://openalex.org/W3107602296","https://openalex.org/W4364306694","https://openalex.org/W4312192474","https://openalex.org/W4283697347"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-07-02T09:51:11.867554","created_date":"2025-08-17T00:00:00"}