Bermudan Swaption is an exotic IR option product. It requires much more computation power and time to price than a vanilla option. Longstaff-Scwhartz algorithm could be applied to overcome this computation challenge. This talk will explore how to apply this algorithm for IMM(CCR).
Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and conduct. Fitch Learning is a global leader in training with experience of delivering specialised technical training at all levels to the financial community. Fitch Learning partner with clients to elevate knowledge and skills and enhance conduct.
We work with 9 out of 10 of each of the largest Investment Banks, Asset Managers and Global Banks and through state-of-the-art training centres in London, New York, Hong Kong, Singapore and Dubai, and our leading distance learning portals, we train more than 20,000 delegates each year.
