Nicolae Santean

Royal Bank of Canada - Capital Markets (Toronto)

Canada

SCHOLARLY PAPERS

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Scholarly Papers (2)

1.

The Hitchhiker's Guide to the Risk-Neutral Galaxy

Number of pages: 97 Posted: 30 Apr 2019 Last Revised: 30 Mar 2020
Nicolae Santean
Royal Bank of Canada - Capital Markets (Toronto)
Downloads 132 (279,347)
Citation 1

Abstract:

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probability spaces, filtrations, Brownian motion, Ito's formula, Doleans-Dade exponential, Girsanov theorem, change of measure, quanto adjustment, Arrow-Debrew securities, risk-neutral probability, Cameron-Martin-Girsanov theorem, change of numeraire, T-forward measure

2.

A Note on Least-Squares Method For Pricing American Options

Number of pages: 36 Posted: 14 May 2021
Nicolae Santean
Royal Bank of Canada - Capital Markets (Toronto)
Downloads 46 (511,089)

Abstract:

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Longstaff-Schwartz LSM Algorithm, Least-Squares Method, Binomial Tree Model, Stopping Times, Stopped Processes, Optimal Exercise Strategy, Optimal Exercise Boundary, Least-Squares Regression, Orthogonal Polynomials, American Option