Grant: Discovery Grants Program - Individual
Wilfrid Laurier University
$16,000.00
Studies in Simulation, Optimal Control, Risk Management and Contingent Capital
FY 2021-22
Summary
American-style options; Contingent capital (Coco); Financial security design and risk analysis; Financial Stability; Least-squares Monte Carlo; Multiple-exercise options; Risk Management; Scientific Computing; Simulation methods for stochastic optimal control problems; Valuation and estimation of hedge parameters
Program
Discovery Grants Program - Individual
Recipient
Location
Ontario, Canada
Recipient Type
Academia
Type
Grant
Source
NSERC's Awards Data
As published
Application id
RGPIN-2017-05441
Name nom
Reesor, Ronald
Department département
Mathematics
Organization id
35
Institution établissement
Wilfrid Laurier University
Province en
Ontario
Province fr
Ontario
Country en
CANADA
Country fr
CANADA
Fiscal year exercice financier
2021
Competition year année de concours
2017
Award amount
16000
Program id
RGPIN
Program name en
Discovery Grants Program - Individual
Program name fr
Programme de subventions à la découverte - individuelles
Group en
Discovery grants programs
Group fr
Programmes de subventions à la découverte
Committee code
1508
Committee name en
Mathematics and Statistics
Committee name fr
Mathématiques et statistique
Area of application code
1212
Area of application group en
Advancement of knowledge
Area of application group fr
Avancement des connaissances
Area of application en
Social sciences
Area of application fr
Sciences sociales
Research subject code
3000
Research subject group en
Statistics and probability
Research subject group fr
Statistique et probabilité
Research subject en
Statistics and probability
Research subject fr
Statistique et probabilité
Installment
inst:5
Partie
1
Nb partie
6
Application title
Studies in Simulation, Optimal Control, Risk Management and Contingent Capital
Keyword
NSERC
Application summary
American-style options; Contingent capital (Coco); Financial security design and risk analysis; Financial Stability; Least-squares Monte Carlo; Multiple-exercise options; Risk Management; Scientific Computing; Simulation methods for stochastic optimal control problems; Valuation and estimation of hedge parameters
