ING Bank and University of Amsterdam
Drona Kandhai is head of the Quantitative Analytics department of Financial Markets in ING Amsterdam. He is also a professor in Computational Finance at the Computational Science Lab of the University of Amsterdam. Drona has been active in the financial industry for more than 15 years where he has worked on pricing and risk model validation, development and integration in IT systems. He has extensive experience in a broad range of financial products and has worked in several departments of ABN AMRO and ING Bank. He holds a PhD in Computational Physics from the University of Amsterdam on the subject of numerical modelling and simulation of complex fluid flows.
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
In the paper, real-world and risk-neutral scenarios are combined for the valuation of the exposure values of Bermudan swaptions on real-world Monte Carlo paths.