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

SCHOLARLY PAPERS

10

DOWNLOADS

780

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (10)

1.

Bias Correction in the Least-Squares Monte Carlo Algorithm

Number of pages: 56 Posted: 28 Sep 2022 Last Revised: 04 Mar 2024
University of Ottawa, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 124 (437,936)
Citation 1

Abstract:

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

2.

Measuring Financial Advice: Aligning Client Elicited and Revealed Risk

Financial Planning Review 5, no. 4 (2022): e1151.
Number of pages: 51 Posted: 24 May 2021 Last Revised: 20 Feb 2024
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 123 (421,676)

Abstract:

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

3.

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
University of Ottawa, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 120 (429,626)

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

4.

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 112 (452,365)
Citation 1

Abstract:

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

5.

Monte Carlo Variance Reduction and American Option Exercise Strategies

Number of pages: 63 Posted: 28 Sep 2022
University of Ottawa, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 97 (500,277)

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

6.

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 92 (517,591)
Citation 2

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7.

Lower Bounds for American Option Prices with Control Variates

Number of pages: 20 Posted: 15 Nov 2022 Last Revised: 20 Sep 2023
University of Ottawa, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 50 (715,459)

Abstract:

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

8.

Capital Structural Models and Contingent Convertible Securities

Number of pages: 63 Posted: 08 Feb 2024
Di Meng, Adam Metzler and R. Mark Reesor
Wilfrid Laurier University - Department of Mathematics, Wilfrid Laurier University - Department of Mathematics and Wilfrid Laurier University
Downloads 40 (783,195)

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Capital structural model, Contingent Convertible Securities, Discontinuous asset value process, Calibration

9.

A Critical Analysis of the Weighted Least Squares Monte Carlo Method for Pricing American Options

Number of pages: 32 Posted: 14 Feb 2024
Xiaotian Zhu, R. Mark Reesor and Lars Stentoft
Western University, Wilfrid Laurier University and Department of Economics, University of Western Ontario
Downloads 22 (936,482)

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American options, heteroscedasticity corrections, Regression, simulation

10.

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

Thompson, John R.J., Longlong Feng, R. Mark Reesor, and Chuck Grace. "Know Your Clients’ behaviours: a cluster analysis of financial transactions." Journal of Risk and Financial Management 14, no. 2 (2021): 50.
Posted: 09 Jun 2020 Last Revised: 20 Feb 2024
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