Lévy-Sheffer Systems and the Longstaff-Schwartz Algorithm for ...

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Overview ◮ Motivation ◮ Dynamic programming ◮ The Longstaff-Schwartz algorithm ◮ Overview of convergence results ◮ New convergence results for certain Lévy processes
Motivation ◮ Many financial instruments have Bermudan features (Callable, flippable) ◮ Bermudan swaptions ◮ Cancellable structured notes ◮ Structured notes with flip options
Page 1: Lévy-Sheffer Systems and the Longs
Page 5 and 6: Algorithms ◮ An optimal stopping
Page 7 and 8: Dynamic Programming ◮ Vn(x) = val
Page 9 and 10: The Longstaff-Schwartz Algorithm
Page 11 and 12: The Longstaff-Schwartz Algorithm
Page 13 and 14: Convergence Results ◮ K basis fun
Page 15 and 16: Results of Glasserman and Yu (2004)
Page 17 and 18: Results of Glasserman and Yu (2004)
Page 19 and 20: The Models ◮ Geometric Poisson pr
Page 21 and 22: Properties of the Meixner Process
Page 23 and 24: Lévy-Sheffer Systems ◮ Sheffer S
Page 25 and 26: Examples of Lévy-Sheffer Systems
Page 27 and 28: Convergence Results (SG 2008) ◮ N
Page 29 and 30: Proof Ingredients of the Convergenc
Page 31: References ◮ J.F. Carriere: Valua

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