Correlated default risk plays a significant role in financial markets. Dynamic intensity-based models, in which a firm default is governed by a stochastic intensity process, are widely used to model correlated default risk. The computations in these models can be performed by Monte Carlo...

This paper develops the first method for the exact simulation of reflected Brownian motion (RBM) with non-stationary drift and infinitesimal variance. The running time of generating exact samples of non-stationary RBM at any time t is uniformly bounded. The method can be used as a guide for...

Point processes with stochastic arrival intensities are ubiquitous in many areas, including finance, insurance, reliability, health care and queuing. They can be simulated from a Poisson process by time-scaling with the cumulative intensity. The paths of the cumulative intensity are often...