Montreal, Quebec H3T 2A7
Canada
HEC Montreal - Department of Management Sciences
Credit Derivatives, Credit Default Swaps, Bermudan Options, Dynamic Programming, Doubly Stochastic Process, Cox Process
Option Pricing, Exotic Options, Dynamic Programming, Installment Options
affine term structure models; no-arbitrage pricing; transition parameters; piecewise multilinear interpolation; swaptions; Eurodollar futures options; Monte Carlo simulation
Futures, asset pricing, dynamic programming, cheapest-to-deliver, delivery options, interest-rate models
Option pricing, Bond pricing, Dynamic Programming, Options embedded in bonds