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Exact simulation of point processes with stochastic intensities
Giesecke, Kay
;
Kakavand, H.
;
Mousavi, M.
- In:
Operations research
59
(
2011
)
5
,
pp. 1233-1245
Persistent link: https://www.econbiz.de/10010217834
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2
Sequential importance sampling and resampling for dynamic portfolio credit risk
Deng, Shaojie
;
Giesecke, Kay
;
Lai, Tze Leung
- In:
Operations research
60
(
2012
)
1
,
pp. 78-91
Persistent link: https://www.econbiz.de/10009532668
Saved in:
3
Large-scale loan portfolio selection
Sirignano, Justin A.
;
Tsoukalas, Gerry
;
Giesecke, Kay
- In:
Operations research
64
(
2016
)
6
,
pp. 1239-1255
Persistent link: https://www.econbiz.de/10011620636
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