Exact and Efficient Simulation of Correlated Defaults

Author:

Giesecke Kay,Kakavand Hossein,Mousavi Mohammad Hossein,Takada Hideyuki

Publisher

Elsevier BV

Reference63 articles.

1. Chapter III.8) along with L�vy's theorem imply that the standard P -Brownian motion W driving the X i s remains a standard Brownian motion References Andersen;The condition ?(t, ?1, 0, X i ) < ? guarantees that P * is well-defined,2003

2. BSLP: markovian bivariate spread-loss model for portfolio credit derivatives;Matthias & Igor Arnsdorf;Journal of Computational Finance,2008

3. Output Analysis

4. Efficient importance sampling for reduced form models in credit risk;Achal & Sachin Bassamboo;Proceedings of the 2006 Winter Simulation Conference,2006

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