Interacting particle systems for the computation of rare credit portfolio losses

Finance and Stochastics

Volumn 13, Issue 4, 2009, Pages 613-633

  Carmona, René ^a   Fouque, Jean Pierre ^b   Vestal, Douglas ^c  

^a PRINCETON UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c Julius Finance   (United States)

Author keywords

Credit derivatives; Interacting particle systems; Monte Carlo methods; Rare defaults; Variance reduction

Indexed keywords

EID: 70350676974     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-009-0098-8     Document Type: Article

References (12)

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