Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives (Q496948): Difference between revisions
From MaRDI portal
Removed claims |
Changed an Item |
||
| Property / author | |||
| Property / author: Benjamin M. Hambly / rank | |||
Normal rank | |||
| Property / author | |||
| Property / author: Christoph Reisinger / rank | |||
Normal rank | |||
Revision as of 01:21, 20 February 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)
0 references
23 September 2015
0 references
multilevel Monte Carlo simulation
0 references
large deviations principle
0 references
exchangeability
0 references
basket credit derivatives
0 references
