Mile End Road
London , London E1 4NS
United Kingdom
Queen Mary University of London
Monte Carlo, Monte Carlo under budget constraints, variance reduction, multi-asset options, Kaczmarz algorithm, weighted sampling, large-scale least-squares problems
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,comma separated,
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reduced basis method (RBM), model reduction, American option, calibration, Heston model, de-Americanization
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partial integrodifferential equation (PIDE) methods, finite elements, time-inhomogeneous Lévy processes, additive processes, Sato processes, time-dependent operator option pricing
