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Hi everyone, I have a project to do where I have to implement two different backward SDE in a jupyter notebook (kernel python 3) and solving them via a montecarlo regression method. All the theoreti
Hi everyone, I have a project to do where I have to implement two different backward SDE in a jupyter notebook (kernel python 3) and solving them via a montecarlo regression method. All the theoretical background is in the paper attached "Acturial_Sci_Quant_Finance_009_final_v5" and my personal task is the one to solve the FVA and KVA implementation using the function called "u" in the paper. The work must have a final graph given from the implementation equal to the one in page 10 (the first one by left) that represents the values of FVA and KVA wrt alpha. In the other file I attach you can find the final implementation to do, with the formula (file pdf "Projects" only slides 6 and 7). Please, if anyone could implement them, even if not completely, but at least starting the implementation of the two Backward SDE's with the montecarlo regression.