Talk on Proxy Simulation Scheme Method

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

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