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by greenleaves
December 22nd, 2006, 2:41 pm
Forum: Technical Forum
Topic: Greeks in the LMM
Replies: 8
Views: 93926

Greeks in the LMM

Hi, Piterbarg,I'm interested in your article "TARNs: Models, Valuation, Risk Sensitivities". Wonder if you could send me a copy by this e-mail: greenleaves01@gmail.comThan you.
by greenleaves
June 18th, 2006, 6:05 pm
Forum: Numerical Methods Forum
Topic: Numerical optimization of conditional expectations
Replies: 6
Views: 191159

Numerical optimization of conditional expectations

I have some experience in computing conditonal expectations via Malliavin calculus. It would be helpful you could be more specific about the setting, or if you could send it to me via my e-mail: greenleaves01@gmail.com