Deep XVAs and the promise of super-fast pricing

Intelligent robots can value complex derivatives such as exotic options in minutes rather than hours

Monte Carlo is synonymous with fast cars, fast money and – in financial circles – a painfully slow way of valuing derivatives.

Now, banks are turning to machine learning in a bid to give their pricing models a turbo-boost.

The technique involves training so-called deep neural networks to approximate the results of Monte Carlo models without having to run millions of simulations.

“The neural network approximates the price of your portfolio when you’re running gigantic, complicated XVA

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact customer services - www.fx-markets.com/static/contact-us, or view our subscription options here: https://subscriptions.fx-markets.com/subscribe

You are currently unable to copy this content. Please contact info@fx-markets.com to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to FX Markets? View our subscription options

You need to sign in to use this feature. If you don’t have a FX Markets account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: