Stochastic local intensity loss models with interacting particle systems
Aurélien Alfonsi, Céline Labart, Jérôme Lelong
| Year of publication: |
April 2016
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| Authors: | Alfonsi, Aurélien ; Labart, Celine ; Lelong, Jerome |
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12059 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011577160