Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives (Q496948): Difference between revisions
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| Property / DOI | |||
| Property / DOI: 10.1007/s11009-013-9380-5 / rank | |||
| Property / author | |||
| Property / author: Benjamin M. Hambly / rank | |||
| Property / author | |||
| Property / author: Christoph Reisinger / rank | |||
| Property / author | |||
| Property / author: Benjamin M. Hambly / rank | |||
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| Property / author | |||
| Property / author: Christoph Reisinger / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2963159856 / rank | |||
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| Property / arXiv ID | |||
| Property / arXiv ID: 1211.0707 / rank | |||
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| Property / cites work | |||
| Property / cites work: Multilevel dual approach for pricing American style derivatives / rank | |||
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| Property / cites work | |||
| Property / cites work: Stochastic Evolution Equations in Portfolio Credit Modelling / rank | |||
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| Property / cites work | |||
| Property / cites work: Large portfolio losses / rank | |||
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| Property / cites work | |||
| Property / cites work: Q3134548 / rank | |||
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| Property / cites work | |||
| Property / cites work: LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT / rank | |||
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| Property / cites work | |||
| Property / cites work: Probabilistic Symmetries and Invariance Principles / rank | |||
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| Property / cites work | |||
| Property / cites work: Multilevel Monte Carlo Path Simulation / rank | |||
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| Property / cites work | |||
| Property / cites work: LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK / rank | |||
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| Property / DOI | |||
| Property / DOI: 10.1007/S11009-013-9380-5 / rank | |||
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Latest revision as of 19:24, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives |
scientific article |
Statements
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives (English)
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23 September 2015
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multilevel Monte Carlo simulation
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large deviations principle
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exchangeability
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basket credit derivatives
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