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Fast and Robust Monte Carlo Cdo Sensitivities and Their Efficient Object Oriented Implementation
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Fast and Robust Monte Carlo Cdo Sensitivities and Their Efficient Object Oriented Implementation (2005)Fast and Robust Monte Carlo Cdo Sensitivi…Lordon, Pierre Jérôme (2011)Lordon, Pierre JérômeDesign Patterns (2006)Design PatternsDesign Patterns (2006)Design PatternsImportance Sampling for Portfolio Credit Risk (2005)Importance Sampling for Portf…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Design Patterns: Abstraction and Reuse of Object-Oriented Design (2002)Design Patterns: Abstraction …On Default Correlation (2000)On Default CorrelationOn Default Correlation: A Copula Function Approach (1999)On Default Correlation: A Cop…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…THE DESIGN PATTERNS (1998)THE DESIGN PATTERNSMonte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Estimating Security Price Derivatives Using Simulation (1996)Estimating Security Price Der…Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pricing American-style securities using simulation (1997)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)A Jump-Diffusion Model for Option Pricing (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Object-oriented patterns (1992)Design Patterns for Object-Oriented Software Development (1994)Automatic Business Process Pattern Matching for Enterprise Services Design (2009)Enterprise architecture patterns for business process support analysis (2011)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An Introduction to Copulas (1999)Modeling Term Structures of Defaultable Bonds (1999)Copula-Dependent Defaults in Intensity Models (2002)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Dependence in probabilistic modeling, Dempster-Shafer theory, and probability bounds analysis. (2004)Options: A Monte Carlo approach (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Numerical solution of stochastic differential equations (2016)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Credit Risk: Modeling, Valuation and Hedging (2004)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Forecasting: theory and practice (2022)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Affine Point Processes and Portfolio Credit Risk (2010)A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Analytics (2012)An Architecture for Provenance Systems (2005)Implications of Evidence‐Centered Design for Educational Testing (2006)Bridging Practice and Theory: A Design Science Approach (2009)Assessment in Game-Based Learning (2012)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2006Design Patterns1,689 cited
  • 2006Design Patterns1,689 cited
  • 2000On Default Correlation1,465 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1996Estimating Security Price Derivatives Using Simulation449 cited
  • 2005Importance Sampling for Portfolio Credit Risk322 cited
  • 1999On Default Correlation: A Copula Function Approach299 cited
  • 2002Design Patterns: Abstraction and Reuse of Object-Oriented Design140 cited
  • 1998THE DESIGN PATTERNS14 cited
  • 2011Lordon, Pierre Jérôme2 cited

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