LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
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Publication:5175224
DOI10.1111/mafi.12011zbMath1314.91228arXiv1109.1272OpenAlexW3124954191MaRDI QIDQ5175224
Kay Giesecke, Justin A. Sirignano, Richard B. Sowers, Konstantinos V. Spiliopoulos
Publication date: 20 February 2015
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.1272
Numerical methods (including Monte Carlo methods) (91G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10) Limit theorems in probability theory (60F99) Credit risk (91G40)
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Cites Work
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