Jacob Buitelaar

Goldman Sachs International

United Kingdom

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

Control Variates for Callable LIBOR Exotics - A Preliminary Study

Proceedings of the 5th Actuarial and Financial Mathematics Day, M. Vanmaele et al, eds, Brussels
Number of pages: 11 Posted: 28 Oct 2008
Jacob Buitelaar and Roger Lord
Goldman Sachs International and Cardano Risk Management
Downloads 251 (152,271)

Abstract:

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LIBOR market model, variance reduction, control variates, Monte Carlo, Bermudans, callable derivatives, Longstaff-Schwartz