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The challenges of simulating portfolio credit risk 01-Apr-2001 10:30 AM PDT - 01-Apr-2001 11:30 AM PDT
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Numerical solution of stochastic differential equations with applications in finance
Date: April 01, 2001
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Applications of the Monte Carlo method in finance
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Extreme value statistics in finance
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Solving American option and portfolio choice problems using the Least Squares Monte Carlo (LSM) Algorithm
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Markov Chain Monte Carlo methods
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Arbitrage pricing of equity basket options
Date: March 31, 2001
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Date: March 31, 2001
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Risk premium and pricing of derivatives in complete markets
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Wavelet-based PDE and fast Monte Carlo valuation of complex derivatives
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Early stopping in financial simulations
Date: April 01, 2001
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