Melbourne, 3010
Australia
University of Melbourne - Centre for Actuarial Studies (deceased)
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market model, calibration, Bermudan swaptions
binomial trees, Richardson extrapolation, options, rate of convergence
binomial tree, trinomial tree, American put option, speed
Monte Carlo Simulation, Pricing, Greeks, Variance Reduction, Auto-Callable, Trigger Product, Target Redemption Note
LIBOR market model, BGM, range accrual, interpolation scheme, Monte Carlo, early exercise, Greeks, pathwise method, delta, vega
Heston stochastic volatility, variance process, integrated variace process, long stepping simulation schemes, sampling gamma random variables
Heston, Stochastic Volatility, Hessian Greeks, Monte Carlo Simulation, Algorithmic Differentiation
jump-diffusion, barrier option, Monte Carlo, importance sampling
Monte-Carlo Sensitivities, Likelihood Ratio, Importance Sampling, Greeks, Proxy Simulation Scheme, Digital Option, Binary Option, Trigger Product, Target Redemption Note
LIBOR market model, predictor-corrector, discretization
automatic differentiation, Monte Carlo simulation, Greeks, Gamma, LIBOR market model, cancellable
Bermudan option, LIBOR market model, early exercise, Monte Carlo
Spread option, Gaussian quadrature rule, Delta, Vega, Market skew sensitivity
American put, binomial tree, truncation
Fourier transform, control-variate, numerical integration
Interest rate derivatives, cross-currency LIBOR market model, BGM, PRDC, adjoint pathwise Greeks
Asian options, GPU, CUDA
LIBOR market model, drift approximation, Monte Carlo
option pricing, Dirichlet problem, maximum principle
portffolio credit derivatives, gamma process, CDO
Credit value adjustment, least squares regression, Monte Carlo simulation
market model, complexity, Monte Carlo
early exercise, snowball, LIBOR market model, Monte Carlo simulation, American option
adjoint method, Delta, Vega, computational order, market model, Monte Carlo simulation
LIBOR market model, LMM, BGM, Greeks, delta, vega, pathwise method, predictor-corrector
Monte Carlo, callable, upper bounds
GPU, Bermudan derivatives, Monte Carlo simulation, Kooderive
adjoint method, Delta, computational order, market model, Monte Carlo simulation
LIBOR market model, calibration, Greeks, vegas
Price Sensitivities, Monte-Carlo Greeks, Partial Proxy Simulation Scheme, Minimal Partial Proxy Simulation Scheme, Pathwise Partial Proxy Method, Pathwise Minimal Partial Proxy Method, Discontinuous Pay-offs, Digital Options, Target Redemption Notes, LIBOR Market Model
Adjoint PDE Greeks, delta, vega, skew, adjoint method, PDE, Markov-functional model, market Greeks, cancellable inverse floater, Bermudan swaption
first-hitting time, passage times, hitting-times, barrier, discretely-monitored, inverse Gaussian, stratified sampling, Monte-Carlo
Variance reduction, control variate, LIBOR market model, LMM, BGM, Markov-functional model, vega
numeraire, option pricing, COS method
optimal partial proxy, Hessian, Monte Carlo simulation, TARN, Gamma matrix, automatic differentiation
portfolio credit derivatives, copula modelling, semi-analytic method, algorithmic differentiation
LIBOR market model, low factor, efficiency
VIX Derivatives, Monte Carlo Simulation, Nested Simulation, VaR, CVA, PFE
game option, convertible bond, Monte Carlo, bounds, duality, Rogers, Jamshidian, Andersen-Broadie
LIBOR market model, pathwise Greeks, adjoint methods
Monte-Carlo Sensitivities, Greeks, Likelihood Ratio, Importance Sampling, Partial Proxy Simulation Scheme, Trigger Product, Discontinuous Pay-off, Digital Option, Auto-cap, Target Redemption Note
algorithmic finance, adjoint method, delta, vega, computational order, market model, Monte Carlo simulation
actuarial valuation, pensions, adjoints, delta, pathwise method, Monte Carlo
price sensitivities, Monte-Carlo Greeks, partial proxy simulation scheme, minimal partial proxy simulation scheme, optimal partial proxy simulation scheme, discontinuous pay-offs, digital options, target redemption notes, LIBOR market model
Pathwise adjoint method, LIBOR market model, delta, vega
American put option, rate of convergence, binomial trees
Bermudan option, upper bounds, Monte Carlo simulation
Local Volatility, Stochastic Interest Rates, Mixture Models
Mixture Models, Stochastic Interest Rates, Stochastic Volatility, Local Volatility, Multidimensional Fractional FFT
multi-exercise, Bermudan option, Monte Carlo simulation, multiplicative upper bounds
volatility derivatives, stochastic interest rates, stochastic volatility, non-parametric, model-free
MCMC, Bayesian analysis, sensitivity computations, automatic differentiation
Monte Carlo, Bermudan Swaption, Cancellable Swap, Greek, Gamma matrix, Automatic-differentiation
Monte Carlo; Lower Bounds; Bermudan derivatives
Finite-time Ruin Probability, Monte-Carlo, Sensitivity, Risk Model
sensitivitites, Monte Carlo Simulation, queueing theory, Levy processes, rejection sampling
Bermudan option, Monte Carlo simulation, upper bound
Monte Carlo; Upper Bounds; Bermudan derivatives
MCMC, Prior Robustness, Convergence, Automatic Differentiation
