Valuation Adjustments for Improved Risk Management

Project Information

ABC-EU-XVA

Grant agreement ID: 813261

DOI

10.3030/813261

Project closed

EC signature date 5 September 2018

Start date 1 November 2018

End date 31 October 2022

Funded under

• EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions

Total cost

€ 1 550 869,20

EU contribution

€ 1 550 869,20

Coordinated by

STICHTING NEDERLANDSE WETENSCHAPPELIJK ONDERZOEK INSTITUTEN
Netherlands

CORDIS provides links to public deliverables and publications of HORIZON projects.

Links to deliverables and publications from FP7 projects, as well as links to some specific result types such as dataset and software, are dynamically retrieved from OpenAIRE .

Deliverables

Websites, patent fillings, videos etc. (3)

Videos

Short videos of ESRs research activities

Public website completion

"The public website for the EID ""ABC-EU-XVA"" is available."

Blog and social media

Communication/outreach activities of the fellows

Documents, reports (1)

Draft Thesis ready

At the end of the project the draft PhD Theses of the 6 ESRs should be readyThis is the responsibility of all partners in particular of the particular academic partners and supervisors

Publications

Other (8)

Convergence of a robust deep FBSDE method for stochastic control

Author(s): Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee
Published in: ARXIV, 2022, Page(s) 1-27
Publisher: ARXIV

An itroduction to rating triggers for collateral-inclusive XVA in an ICTMC framework

Author(s): Kevin Kamm
Published in: ARXIV, 2022
Publisher: ARXIV

Accelerated Computations of Sensitivities for xVA

Author(s): Griselda Deelstra, Lech A. Grzelak and Felix L. Wolf
Published in: ARXIV, 2022
Publisher: currently in CWI's repository, and it is submitted for publication

A Multi-Level Monte Carlo Lagrange-Galerkin method for solving a XVA hybrid model in European options

Author(s): Graziana Colonna, Ana M. Ferreiro-Ferreiro, José A. García-Rodríguez and Carlos Vázquez
Published in: SSRN, 2023
Publisher: SSRN
DOI: 10.2139/ssrn.4353116

A novel approach to rating transition modelling via Machine Learning and SDEs in Lie groups

Author(s): Kevin Kamm and Michelle Muniz
Published in: ARXIV, 2022
Publisher: ARXIV

GPU acceleration of the seven-league scheme for large time step simulation of stochastic differential equations

Author(s): Shuaiqiang Liu, Graziana Colonna, Lech Grzelak and Cornelis Oosterlee
Published in: ARXIV, 2023
Publisher: ARXIV
DOI: 10.48550/arxiv.2302.05170

Expectation-maximization for univariate reinforced urn processes under left-truncation and right-censoring

Author(s): Luis Souto, Pasquale Cirillo, Cornelis W. Oosterlee
Published in: SSRN, 2020
Publisher: CWI's repository, and in SSRN

A new self-exciting jump-diffusion process for option pricing

Author(s): L.A. Souto Arias, P. Cirillo and C.W. Oosterlee
Published in: ARXIV, 2022
Publisher: ARXIV

Peer reviewed articles (10)

Joint and Survivor Annuity Valuation with a Bivariate Reinforced Urn Process

Author(s): Luis Souto Arias; Pasquale Cirillo
Published in: Insurance: Mathematics and Economics, Issue 99, 2021, Page(s) 174-189, ISSN 0167-6687
Publisher: Elsevier BV
DOI: 10.1016/j.insmatheco.2021.04.004

International Journal of Financial Studies

Author(s): Marco de Francesco and Kevin Kamm
Published in: International Journal of Financial Studies, Issue 10(2), 2022, Page(s) 38, ISSN 2227-7072
Publisher: MDPI
DOI: 10.3390/ijfs10020038

A stochastic Asset Liability Management model for life insurance companies

Author(s): Marco Di Francesco; Roberta Simonella
Published in: Financial Markets and Portfolio Management, Issue 5, 2023, Page(s) 1-34, ISSN 2373-8529
Publisher: Springer
DOI: 10.1007/s11408-022-00411-0

On the stochastic Magnus expansion and its application to SPDEs

Author(s): Kamm, Kevin; Pagliarani, Stefano; Pascucci, Andrea
Published in: Journal of Scientific Computing, Issue 89(3), 2021, Page(s) 1-31, ISSN 1573-7691
Publisher: Springer
DOI: 10.1007/s10915-021-01633-6

Numerical solution of kinetic SPDEs via stochastic Magnus expansions

Author(s): Kevin Kamm, Stefano Pagliarani and Andrea Pascucci
Published in: Mathematics and computers in simulation, Issue 207, 2023, ISSN 0378-4754
Publisher: Elsevier BV
DOI: 10.1016/j.matcom.2022.12.029

How to handle negative interest rates in a CIR framework

Author(s): Marco Di Francesco; Kevin Kamm
Published in: SeMA Journal, Issue 79(4), 2022, Page(s) 593–618, ISSN 2281-7875
Publisher: Springer
DOI: 10.48550/arxiv.2106.03716

Total value adjustment for European options in a multi‐currency setting

Author(s): Iñigo Arregui; Roberta Simonella; Carlos Vázquez
Published in: Applied Mathematics and Computation, Issue 9, 2022, Page(s) 126647, ISSN 0096-3003
Publisher: Elsevier BV
DOI: 10.1016/j.amc.2021.126647

XVA in a multi-currency setting with stochastic foreign exchange rates.

Author(s): Roberta Simonella and Carlos Vázquez
Published in: Mathematics and Computers in Simulation, Issue 207, 2023, Page(s) 59-79, ISSN 0378-4754
Publisher: Elsevier BV
DOI: 10.1016/j.matcom.2022.12.014

Deep learning for CVA computations of large portfolios of financial derivatives

Author(s): Kristoffer Andersson; Cornelis W. Oosterlee; Cornelis W. Oosterlee
Published in: Applied Mathematics and Computation, Issue 409, 2021, Page(s) 126399, ISSN 0096-3003
Publisher: Elsevier BV
DOI: 10.48550/arxiv.2010.13843

A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options

Author(s): Kristoffer Andersson, Cornelis W. Oosterlee
Published in: Applied Mathematics and Computation, Issue 408, 2020, Page(s) 126332, ISSN 0096-3003
Publisher: Elsevier BV
DOI: 10.1016/j.amc.2021.126332

Conference proceedings (2)

Modelling and Computing the Total Value Adjustment for European Derivatives in a Multi-Currency Setting

Author(s): Íñigo Arregui, Roberta Simonella and Carlos Vázquez
Published in: Progress in Industrial Mathematics at ECMI 2021, Issue 1, 2022, Page(s) 313-319, ISBN 978-3-031-11818-0
Publisher: Sppringer
DOI: 10.1007/978-3-031-11818-0_41

A Multi-Level Monte-Carlo with FEM for XVA in European Options

Author(s): Graziana Colonna, Ana M. Ferreiro-Ferreiro and Carlos Vázquez
Published in: Progress in Industrial Mathematics at ECMI 2021, Issue 1, 2022, Page(s) 321-327, ISBN 978-3-031-11818-0
Publisher: Springer
DOI: 10.1007/978-3-031-11818-0_42