Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives (Q496948): Difference between revisions

@@ Property / author @@
+Benjamin M. Hambly
@@ Property / author: Benjamin M. Hambly / rank @@
+Normal rank
@@ Property / author @@
+Christoph Reisinger
@@ Property / author: Christoph Reisinger / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2963159856
@@ Property / OpenAlex ID: W2963159856 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.0707
@@ Property / arXiv ID: 1211.0707 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel dual approach for pricing American style derivatives
+Normal rank
@@ Property / cites work @@
+Stochastic Evolution Equations in Portfolio Credit Modelling
+Normal rank
@@ Property / cites work @@
+Large portfolio losses
@@ Property / cites work: Large portfolio losses / rank @@
+Normal rank
@@ Property / cites work @@
+Q3134548
@@ Property / cites work: Q3134548 / rank @@
+Normal rank
@@ Property / cites work @@
+LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
@@ Property / cites work: LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic Symmetries and Invariance Principles
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
+Normal rank