Path-dependent scenario trees for multistage stochastic programmes in finance
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Publication:2873550
DOI10.1080/14697688.2010.518154zbMath1279.91171OpenAlexW1987002254MaRDI QIDQ2873550
Vittorio Moriggia, Gaetano Iaquinta, Giorgio Consigli
Publication date: 24 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.518154
stochastic programmingMonte Carlo methodsscenario generationfinancial applicationsinterest credit risk
Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15) Credit risk (91G40)
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