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Least Squares Monte Carlo for Valuing High-Dimensional Option Contracts
P012 - Abdul Latif Jameel Hall
AUC Avenue, P.O. Box 74, New Cairo, 11835, Egypt
Details
During the session, Professor Hatem Ben Ameur will discuss different numerical methods for valuing high-dimensional option contracts. In particular, he will present the least squares Monte Carlo algorithm and its applications.
Speakers
Hatem Ben Ameur
Professor of Decision Sciences
HEC, Montreal.
Hatem Ben Ameur is professor of decision sciences at HEC Montréal. He obtained a PhD in financial engineering from HEC Montréal, a diploma of statistician, economist, and INSEE administrator from ENSAE Paris, and a Bachelor of mathematics and physics from FS Tunis. He held positions in economics at ISG Tunis, finance at UQAM and Brock University, and decision sciences at HEC Montréal. Professor Ben Ameur is a specialist in numerical finance. He has been contributing to the literature in financial engineering, and publishing in solid journals for 25 years. His research mainly focuses on the design, resolution, and estimation of option settings with a constant search for the best compromise between complexity and tractability in the modeling process.