Estimating tranche spreads by loss process simulation

Proceedings - Winter Simulation Conference

Volumn , Issue , 2007, Pages 967-975

  Giesecke, Kay ^a   Kim, Baeho ^a  

^a Stanford University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

MONTE CARLO METHODS;

CONTINGENT CLAIMS; DISCRETIZATION; HIGH YIELD; MONTE CARLO SIMULATION; NORTH AMERICA; PATH DEPENDENT; POINT PROCESSES; PROCESS SIMULATIONS; UNBIASED ESTIMATORS; VALUE INDICES;

ESTIMATION;

EID: 49749097912     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2007.4419693     Document Type: Conference Paper

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