R. Mark Reesor

Wilfrid Laurier University

75 University Ave W

waterloo, ontario N2L 3C5

Canada

University of Western Ontario

1151 Richmond Street

Suite 2

London, Ontario N6A 5B8

Canada

  • Wilfrid Laurier University

  • University of Western Ontario

SCHOLARLY PAPERS

8

DOWNLOADS

462

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (8)

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1.

Valuation and Analysis of Zero-Coupon Contingent Capital Bonds

Number of pages: 45 Posted: 30 Apr 2014
Adam Metzler and R. Mark Reesor
Wilfrid Laurier University - Department of Mathematics and Wilfrid Laurier University
Downloads 107 (385,657)

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Contingent capital, CoCo Bonds, Structural Models, Optional Sampling Theorem

2.

Measuring Financial Advice: Aligning Client Elicited and Revealed Risk

Number of pages: 51 Posted: 24 May 2021
John R.J. Thompson, Longlong Feng, R. Mark Reesor, Chuck Grace and Adam Metzler
University of British Columbia - Okanagan Campus, Wilfrid Laurier University, Wilfrid Laurier University, University of Western Ontario - Richard Ivey School of Business and Wilfrid Laurier University - Department of Mathematics
Downloads 102 (398,552)

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Risk measures, Value-at-risk, Portfolio management, Financial advice, Client-advisor relationship

3.

A First Approximation to the Cost of Contingent Capital for Canadian Banks

Number of pages: 27 Posted: 02 May 2014
Jingya Li, Adam Metzler and R. Mark Reesor
Applied Mathematics at The University of Western Ontario, Wilfrid Laurier University - Department of Mathematics and Wilfrid Laurier University
Downloads 82 (457,303)
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4.

Efficient Variance Reduction with Least-Squares Monte Carlo Pricing

Boire, F. M., Reesor, R. M., & Stentoft, L. (2021). Efficient Variance Reduction for American Call Options Using Symmetry Arguments. Journal of Risk and Financial Management, 14(11), 504.
Number of pages: 50 Posted: 08 Mar 2021 Last Revised: 25 Sep 2022
François-Michel Boire, R. Mark Reesor and Lars Stentoft
HEC Montreal, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 78 (470,833)

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American Options, Antithetic Sampling, Control Variates, Importance Sampling, Monte Carlo Simulation, Put-Call Symmetry

5.

Bias Correction in the Least-Squares Monte Carlo Algorithm

Number of pages: 59 Posted: 28 Sep 2022
François-Michel Boire, R. Mark Reesor and Lars Stentoft
HEC Montreal, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 49 (592,515)

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American Options, Least-Squares Monte Carlo, Foresight Bias, Sub-Optimality Bias

6.

Monte Carlo Variance Reduction and American Option Exercise Strategies

Number of pages: 63 Posted: 28 Sep 2022
François-Michel Boire, R. Mark Reesor and Lars Stentoft
HEC Montreal, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 30 (704,875)

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American Options, Control Variates, Importance Sampling, Monte Carlo Simulation

7.

Who Knew Optimally Sampled Controls are Biased? This Changes Everything

Number of pages: 20 Posted: 15 Nov 2022
François-Michel Boire, R. Mark Reesor and Lars Stentoft
HEC Montreal, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 14 (831,644)

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American Options, Control Variates, Bias Correction, Monte Carlo Simulation

8.

Know Your Clients' Behaviours: A Cluster Analysis of Financial Transactions

Posted: 09 Jun 2020
John R.J. Thompson, Longlong Feng, R. Mark Reesor and Chuck Grace
University of British Columbia - Okanagan Campus, Wilfrid Laurier University, Wilfrid Laurier University and University of Western Ontario - Richard Ivey School of Business

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Machine Learning, Clustering, Behavioural Finance, Financial Advising