STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS (Q2799999)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS |
scientific article |
Statements
STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS (English)
0 references
14 April 2016
0 references
stochastic local intensity model
0 references
interacting particle systems
0 references
loss modeling
0 references
credit derivatives
0 references
Monte Carlo algorithm
0 references
Fokker-Planck equation
0 references
martingale problem
0 references
