Regression-Based Monte Carlo Methods for Stochastic Control Models

Nov 13, 2014·
Yao Tung Huang (Don HUANG)
Yao Tung Huang (Don HUANG)
· 0 min read
Abstract
Presentation of regression-based Monte Carlo methods for stochastic control models, with applications to variable annuities with lifelong guarantees.
Date
Nov 13, 2014 — Nov 15, 2014
Event
SIAM Conference on Financial Mathematics and Engineering
Location

Chicago, USA

Stochastic Control Monte Carlo Variable Annuities
Yao Tung Huang (Don HUANG)
Authors
Yao Tung Huang (Don HUANG)
Co-Founder & Chief Scientist, AQUMON