Pages that link to "Item:Q4610234"

The following pages link to Rapid and accurate development of prices and Greeks for<i>n</i>th to default credit swaps in the Li model (Q4610234):

Displayed 11 items.

• Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula (Q335566) ‎ (← links)
• Importance sampling for integrated market and credit portfolio models (Q953448) ‎ (← links)
• Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas (Q2276220) ‎ (← links)
• Numerical methods to quantify the model risk of basket default swaps (Q2453103) ‎ (← links)
• On an automatic and optimal importance sampling approach with applications in finance (Q4554214) ‎ (← links)
• A set-valued Markov chain approach to credit default (Q4991050) ‎ (← links)
• Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions) (Q5063446) ‎ (← links)
• Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models (Q5156996) ‎ (← links)
• Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations (Q5234330) ‎ (← links)
• A systematic and efficient simulation scheme for the Greeks of financial derivatives (Q5234352) ‎ (← links)
• Copula sensitivity analysis for portfolio credit derivatives (Q6167430) ‎ (← links)