Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives

DOI10.1007/s11009-013-9380-5zbMath1327.65003arXiv1211.0707OpenAlexW2963159856MaRDI QIDQ496948

K. Bujok, Benjamin M. Hambly, Christoph Reisinger

Publication date: 23 September 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.0707

zbMATH Keywords

exchangeabilitylarge deviations principlebasket credit derivativesmultilevel Monte Carlo simulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Large deviations (60F10) Credit risk (91G40)

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Cites Work

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• Multilevel dual approach for pricing American style derivatives
• Large portfolio losses
• Multilevel Monte Carlo Path Simulation
• LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
• Stochastic Evolution Equations in Portfolio Credit Modelling
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
• Probabilistic Symmetries and Invariance Principles

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