Interacting particle systems for the computation of rare credit portfolio losses
René Carmona; Jean-Pierre Fouque; Douglas Vestal
| Year of publication: |
2009
|
|---|---|
| Authors: | Carmona, René ; Fouque, Jean-Pierre ; Vestal, Douglas |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 13.2009, 4, p. 613-633
|
| Subject: | Ausfallrisiko | Derivat | Derivative | Risiko | Risk | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003899538