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On the Existence of an Optimal Regression Complexity in the Least-Square Monte Carlo LSM Framework for Options Pricing
most challenging and difficult problems is the valuation of American-style derivatives. Numerical PDE method ... the choice of the basis functions. 2.1 The Valuation Algorithm Longstaff and Schwartz (2001) introduce ...- Authors: Yu Zhou
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Economics>Financial economics; Economics>Financial markets; Modeling & Statistical Methods>Regression analysis
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Risk Management at a Leading Canadian Bank: An Actuarial Science Graduate's View
*Morgan Stanley (2004) 31 31 Risk Management Valuation of Nth to Default Swaps, CDOs, CDO^2 • Benchmark ... otman Meeting. • Hull, J. C., and A. White. Valuation of a CDO and nth to Default CDS Without Monte ...- Authors: Yu Zhou
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Enterprise Risk Management>Operational risks; Finance & Investments>Derivatives