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Mathematics-in-Industry Case Studies Journal, Volume 2, ppOptimized Least-squares Monte Carlo for Measuring Counterparty Credit Exposure of American-style Options Kin Hung (Felix) Kan
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Document Date: 2015-03-23 09:45:54

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Company

CIBC / /

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Facility

University of Western Ontario / /

IndustryTerm

possible solution / /

Organization

University of Western Ontario / Department of Applied Mathematics / /

Person

R. Mark Reesor / Greg Frank / Kin Hung (Felix) Kan / Victor Mozgin / /

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Position

writer / /

ProgrammingLanguage

T / /

Region

Western Ontario / /

Technology

LSM algorithm / simulation / PKI / /

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