Replacing the Monte Carlo Simulation by the COS Method for PFE (Potential Future Exposure) Calculations
Gijs Mast

Supervisor TU Delft: Fang Fang
Supervisor FF Quant: Xiaoyu Shen


start of the project: January 2022

The Master project has been finished in September 2022 by the completion of the Masters Thesis and a final presentation has been given.

For working address etc. we refer to our alumnipage.

Summary of the master project:
Description

Contact information: Kees Vuik

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