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More on Risk Management
The authors investigate the performance of the ordinary least squares (OLS) regression method in Monte Carlo simulation algorithms for pricing American options.
In their 2001 paper, Longstaff and Schwartz suggested a method for American option pricing using simulation and regression, and since then this method has rapidly gained importance.
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility ...
The authors consider the optimal strategy of research and development (R&D) expenditure adopted by a firm that engages in R&D to develop an innovative product to be launched in the market.
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Isda directors warn on fragmentation, access and liquidity - but expect problems to pass
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