nested Monte Carlo
Posted: June 9th, 2017, 12:02 am
We have done a new paper on how to do nested Monte Carlo using small number of sub-simulation paths. I'd be interested in any comments.
https://papers.ssrn.com/sol3/papers.cfm ... id=2983510
There are many applications including CVA, VIX, PFE, VAR capital
modelling. I think this paper will be important for practitioners.
I
https://papers.ssrn.com/sol3/papers.cfm ... id=2983510
There are many applications including CVA, VIX, PFE, VAR capital
modelling. I think this paper will be important for practitioners.
I