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Publications by Dominic Cortis

Evaluating Credit Counterparty Risk of American Options via Monte Carlo Methods: A Comparison of Tilley Bundling and Longstaff-Schwartz LSM

Frontiers in Applied Mathematics and Statistics

Applied Mathematics

English

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Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Journal of Credit Risk

English

Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives

Springer Proceedings in Mathematics and Statistics

English

Measure the Market Risk of the American Basket Options Based on the Least Square Monte Carlo Simulation Approach

English

Average Performance of Monte Carlo and Quasi-Monte Carlo Methods for Global Optimization

English

Pricing 50ETF in the Way of American Options Based on Least Squares Monte Carlo Simulation

Applied Finance and Accounting

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The Pricing Implications of Counterparty Risk for Non-Linear Credit Products

Journal of Credit Risk

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Modern Monte Carlo Methods and GPU Computing

Mathematics in Industry

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Particle Markov Chain Monte Carlo Methods

Journal of the Royal Statistical Society. Series B: Statistical Methodology

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Monte Carlo Bounds for Game Options Including Convertible Bonds

Management Science

Management Science

Operations Research

English