Steven Sivorot

S&P Global

Data Analytics Associate Director

1066 West Hastings Street

Unit 1780

Vancouver, BC V6E 3X1

Canada

SCHOLARLY PAPERS

3

DOWNLOADS

485

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (3)

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 151 (366,306)

Abstract:

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

2.

Potential Future Exposure of Target Redemption Forwards

Wilmott Magazine, September 2023, 88-93
Number of pages: 14 Posted: 21 Nov 2022 Last Revised: 20 Sep 2023
Steven Sivorot and Stefano Renzitti
S&P Global and S&P Global
Downloads 194 (294,543)

Abstract:

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

3.

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 140 (388,948)

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