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Pouya Bastani

IHS Markit

Data Analytics Principal

25 Ropemaker Street

4th floor Ropemaker Place

London, EC2Y 9LY

United Kingdom

SCHOLARLY PAPERS

2

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416

TOTAL CITATIONS

0

Scholarly Papers (2)

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1.

Accelerating CVA and CVA Sensitivities Using Quasi-Monte Carlo Methods

Downloads 215 (159,122)

Accelerating CVA and CVA Sensitivities Using Quasi-Monte Carlo Methods

Wilmott Magazine, 2020, issue 108, p. 78–93.
Number of pages: 30 Posted: 26 Nov 2020
Stefano Renzitti, Pouya Bastani and Steven Sivorot
S&P Global, IHS Markit and S&P Global
Downloads 215 (352,440)

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CVA, Greeks, Monte Carlo, Quasi-Monte Carlo, Sobol' Sequences

2.

XVA Estimates with Empirical Martingale Simulation

Wilmott Magazine, March 2022, 50-59
Number of pages: 11 Posted: 25 Oct 2021 Last Revised: 16 Jan 2023
Stefano Renzitti, Pouya Bastani and Steven Sivorot
S&P Global, IHS Markit and S&P Global
Downloads 201 (380,469)

Abstract:

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Monte Carlo, Option Pricing, Variance Reduction, Moment Matching, Empirical Martingale Simulation, XVA, CVA, DVA, Greeks, Quasi-Monte Carlo, Sobol' Sequences, Derivative Estimation