Deep-xVA-Solver

Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633

DeepBsdeSolverWithJumps

Implementation of "A deep solver for BSDEs with jumps"

QuantizationStochasticVolatility

Recursive Marginal Quantization of Stochastic Volatility Models

matrix-functions

Matrix exponential and logarithm for complex matrices

BiaginiEtAlExamples

Examples for the paper "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin" https://arxiv.org/abs/1905.11328