This paper presents the total least squares quasi-Monte Carlo approach (TLSQM) for valuing American barrier options, which modifies the least-squares Monte Carlo method (LSM). The total least squares are applied to estimate the conditional expected payoff to the option holder from continuation,...

Credit risk management is important for the investors in practical risk management. This paper aims to discuss how to evaluate the default risk of bond portfolios by applying extreme value theory. Based on Black and Cox default approach, we propose a novel threshold default model and use extreme...