Interaction particle systems for the computation of rare credit portfolio losses

DOI10.1007/s00780-009-0098-8zbMath1199.91248MaRDI QIDQ964695

Jean-Pierre Fouque, Douglas Vestal, René A. Carmona

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0098-8

zbMATH Keywords

Monte Carlo methods; variance reduction; credit derivatives; Interacting particle systems; rare defaults

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60K35: Interacting random processes; statistical mechanics type models; percolation theory

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

91G40: Credit risk

Related Items

Snell envelope with small probability criteria, Feynman-Kac Particle Integration with Geometric Interacting Jumps, Stochastic evolution equations driven by Liouville fractional Brownian motion, An Introduction to Particle Methods with Financial Applications, PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS

Cites Work

• Genealogical particle analysis of rare events
• A Continuity Correction for Discrete Barrier Options
• Importance Sampling for Portfolio Credit Risk
• Stochastic Volatility Effects on Defaultable Bonds
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