{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,8,19]],"date-time":"2023-08-19T07:05:31Z","timestamp":1692428731273},"reference-count":0,"publisher":"Walter de Gruyter GmbH","issue":"3","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2014,9,1]]},"abstract":"<jats:title>Abstract<\/jats:title>\n               <jats:p>This paper is devoted to the simulation of the Credit\nValuation Adjustment (CVA) using a pure Monte Carlo technique with\nMalliavin calculus (MCM). The procedure presented is based on a\ngeneral theoretical framework that includes a large number of models\nas well as various contracts, and allows both the computation of CVA\nand its sensitivity with respect to the different assets. Moreover, we\nprovide the expression of the backward conditional density of assets\nvector that can be simulated off-line in order to reduce the variance\nof the CVA estimator. Using the suitability of MCM to parallel architectures\nand thus to a Graphic Processing Unit (GPU) implementation, we show that the\nresults obtained are accurate once a sufficient number of trajectories is\nsimulated. Both complexity and accuracy are studied for MCM and regression\nmethods and are compared to the square Monte Carlo benchmark.<\/jats:p>","DOI":"10.1515\/mcma-2013-0026","type":"journal-article","created":{"date-parts":[[2014,7,16]],"date-time":"2014-07-16T20:53:31Z","timestamp":1405544011000},"page":"195-216","source":"Crossref","is-referenced-by-count":2,"title":["Toward a coherent Monte Carlo simulation of CVA"],"prefix":"10.1515","volume":"20","author":[{"given":"Lokman A.","family":"Abbas-Turki","sequence":"first","affiliation":[{"name":"Institut f\u00fcr Mathematik, TU Berlin, Building MA, Stra\u00dfe des 17. Juni 136, 10623 Berlin, Germany"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Aych I.","family":"Bouselmi","sequence":"additional","affiliation":[{"name":"Laboratoire d' Analyse et de Math\u00e9matiques Appliqu\u00e9es, 5, Boulevard Descartes, 77454 Marne-la-Vall\u00e9e Cedex 2, France"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Mohammed A.","family":"Mikou","sequence":"additional","affiliation":[{"name":"D\u00e9partement des Math\u00e9matiques, EISTI Campus de Cergy, Avenue du Parc, 95011 Cergy-Pontoise Cedex, France"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"374","published-online":{"date-parts":[[2014,7,16]]},"container-title":["Monte Carlo Methods and Applications"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2013-0026\/xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2013-0026\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,4,1]],"date-time":"2023-04-01T19:17:51Z","timestamp":1680376671000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2013-0026\/html"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,7,16]]},"references-count":0,"journal-issue":{"issue":"3","published-online":{"date-parts":[[2014,5,10]]},"published-print":{"date-parts":[[2014,9,1]]}},"alternative-id":["10.1515\/mcma-2013-0026"],"URL":"https:\/\/doi.org\/10.1515\/mcma-2013-0026","relation":{},"ISSN":["0929-9629","1569-3961"],"issn-type":[{"value":"0929-9629","type":"print"},{"value":"1569-3961","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,7,16]]}}}