Steven Sivorot

S&P Global

Data Analytics Associate Director

1066 West Hastings Street

Unit 1780

Vancouver, BC V6E 3X1

Canada

  • S&P Global

    • Email
    • Tel: 1-778-372-4537
SCHOLARLY PAPERS

3

DOWNLOADS

236

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

Actions:
Email selected abstracts
1.

Accelerating CVA and CVA Sensitivities Using Quasi-Monte Carlo Methods

Downloads 85 (226,274)

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 85 (468,790)

Abstract:

Loading...

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 95 (433,172)

Abstract:

Loading...

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

3.

Potential Future Exposure of Target Redemption Forwards

Wilmott Magazine, Forthcoming
Number of pages: 14 Posted: 21 Nov 2022 Last Revised: 16 Jan 2023
Steven Sivorot and Stefano Renzitti
S&P Global and S&P Global
Downloads 56 (580,326)

Abstract:

Loading...

PFE, FX Heston, Garman-Kohlhagen, Monte Carlo, FX Option, TARF, TARN