An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA

In this work, we developed a Python demonstrator for pricing total valuation adjustment (XVA) based on the stochastic grid bundling method (SGBM). XVA is an advanced risk management concept which became relevant after the recent financial crisis. This work is a follow-up work on Chau and Oosterlee in (Int J Comput Math 96(11):2272–2301, 2019)...