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Brownian Bridge Algorithm
Author(s):
Tim Xiao
(see profile)
Date:
2022
Group(s):
Business Management
Subject(s):
Derivative securities
,
Monte Carlo method
Item Type:
Essay
Tag(s):
brwonian bridge
,
monte carlo
,
barrier option
Search term matches:
Subject
...
Monte
Carlo
method ...
Tag
...
monte
carlo
...
Full Text
... unlikely conditions. If paths were generated by a conventional
Monte-Carlo
method only a very small ...
Monte Carlo Value At Risk Introduction
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
Value at Risk
,
VaR
,
Monte Carlo VaR
,
market risk
,
financial market
Search term matches:
Title
...
Monte
Carlo
Value At Risk Introduction ...
Tag
...
monte
carlo
var ...
Full Text
... VaR Introduction III:
Monte
Carlo
VaR
Monte
Carlo
VaR Summary ◆ VaR Definition ◆ VaR Roles ...
Funding Valuation Adjustment
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
funding valuation adjustment
,
FVA
,
credit risk
,
credit exposure approach
,
least square Monte Carlo approach
,
funding cost
Search term matches:
Tag
... least square
monte
carlo
approach ...
Full Text
... Calculation: Credit Exposure Approach ◆ CVA and FVA Calculation: Least Square
Monte
Carlo
Approach ◆ Master ...
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