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q-fin.CP2021★ 1 cited
Efficient Least Squares Monte-Carlo Technique for PFE/EE Calculations
Yuriy Krepkiy, Asif Lakhany, Amber Zhang
We describe a regression-based method, generally referred to as the Least Squares Monte Carlo (LSMC) method, to speed up exposure calculations of a portfolio. We assume that the po…
q-fin.CP2011
Adaptive Simulation of the Heston Model
Ian Iscoe, Asif Lakhany
Recent years have seen an increased level of interest in pricing equity options under a stochastic volatility model such as the Heston model. Often, simulating a Heston model is di…