Interacting particle systems for the computation of rare credit portfolio losses
| Year of publication: |
2009
|
|---|---|
| Authors: | Carmona, René ; Fouque, Jean-Pierre ; Vestal, Douglas |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 4, p. 613-633
|
| Publisher: |
Springer |
| Subject: | Interacting particle systems | Rare defaults | Monte Carlo methods | Credit derivatives | Variance reduction |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005061373