Stochastic local intensity loss models with interacting particle systems
Year of publication: |
April 2016
|
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Authors: | Alfonsi, Aurélien ; Labart, Celine ; Lelong, Jérõme |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 2, p. 366-394
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Subject: | stochastic local intensity model | interacting particle systems | loss modeling | credit derivatives | Monte Carlo algorithm | Fokker-Planck equation | martingale problem | Theorie | Theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Algorithmus | Algorithm | Markov-Kette | Markov chain |
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