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Advances in Optimization and Statistics
May 15, 2014 10:00, Moscow, IITP


Asymptotics beats Monte Carlo: The case of correlated local vol baskets

Christian Bayer

Weierstrass Institute for Applied Analysis and Stochastics, Berlin


http://www.youtube.com/watch?v=Dqzrn9MH_wc


Language: English


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