Talk on Proxy Simulation
Scheme Method
01. 10 06 - 20:16 - Category:
Mathematics
(English Text)
I gave a talk at
the WBS 3rd Fixed Income Conference, Amsterdam, 21-22
September 2006 presenting the proxy simulation scheme
method. The talk covered the "full proxy" and the
"partial proxy" simulation scheme method. The first
part (full proxy) had been presented at the
Quantitative Methods in Finance Conference, Sydney,
2005. I have posted an updated version of the slides
at www.christian-fries.de/finmath/talks/2006proxyScheme
In addition I gave a 10 min talk at the "interest
rate plenary panel". If you are interest in the
"foresight bias correction" mentioned there,
see www.christian-fries.de/finmath/foresightbias.
