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q-fin.CP2018
An Aspect of Optimal Regression Design for LSMC
Christian Weiß, Zoran Nikolić
Practitioners sometimes suggest to use a combination of Sobol sequences and orthonormal polynomials when applying an LSMC algorithm for evaluation of option prices or in the contex…
q-fin.RM2018★ 1 cited
The Influence of Seed Selection on the Solvency II Ratio
Quinn Culver, Dennis Heitmann, Christian Weiß
This article contains the first published example of a real economic balance sheet where the Solvency II ratio substantially depends on the seed selected for the random number gene…