Mario Viehmann

Ludwig Maximilian University of Munich (LMU)

Geschwister-Scholl-Platz 1

Munich, DE Bavaria 80539

Germany

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Scholarly Papers (1)

1.

Melting Sensitivities - Exact and Approximate Margin Valuation Adjustments

Number of pages: 44 Posted: 05 Jan 2018 Last Revised: 06 Mar 2018
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, DZ Bank AG and Ludwig Maximilian University of Munich (LMU)
Downloads 315 (100,869)
Citation 5

Abstract:

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MVA, Initial Margin Simulation, ISDA SIMM, Automatic Differentiation, Adjoint Automatic Differentiation, Forward Sensitivities