16 reputation
bio website fairmat.com
location
age
visits member for 2 years, 1 month
seen Jul 28 at 14:17

Jan
8
comment Longstaff Schwartz method
The wikipedia page you mention is about continuous (time dependent) cash-flows. Every rate of cash flows FV(t) is discounted with exp(-\lambda t). In the change I suggested t is j*dt.
Jan
8
answered Longstaff Schwartz method
Jan
8
answered Reasonable Hull & White parameters
Jan
6
answered Fastest solver possible for portfolio optimization