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PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
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PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS (2010)PARTICLE METHODS FOR THE ESTIMATION OF CR…Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives (2009)Multiscale Intensity Models a…Interacting particle systems for the computation of rare credit portfolio losses (2009)Interacting particle systems …PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (2008)PRICING AND HEDGING OF PORTFO…LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK (2007)LARGE DEVIATIONS IN MULTIFACT…Chapter 11 Valuation of Basket Credit Derivatives in the Credit Migrations Environment (2007)Chapter 11 Valuation of Baske…Importance Sampling for Portfolio Credit Risk (2005)Importance Sampling for Portf…Feynman-Kac Formulae (2004)Feynman-Kac FormulaeMonte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Applied mathematical finance (1994)Applied mathematical financeAffine Point Processes: Approximation and Efficient Simulation (2015)Affine Point Processes: Appro…Exact and Efficient Simulation of Correlated Defaults (2010)Exact and Efficient Simulatio…On Default Correlation (2000)Credit Risk: Modeling, Valuation and Hedging (2004)DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK (2008)About the Pricing Equations in Finance (2010)Up and down credit risk (2010)Numerical solution of stochastic differential equations (2016)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Modeling Term Structures of Defaultable Bonds (1999)Some Applications and Methods of Large Deviations in Finance and Insurance (2007)LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT (2012)Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives (2013)A Continuity Correction for Discrete Barrier Options (1997)Estimation in Interacting Diffusions: Continuous and Discrete Sampling (2011)Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models (2015)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Large deviations and applications for Markovian Hawkes processes with a large initial intensity (2018)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (2009)Hedging default risks of CDOs in Markovian contagion models (2010)Option valuation using the fast Fourier transform (1999)Copula Methods in Finance (2004)Risk Premia in Structured Credit Derivatives (2007)Utility valuation of multi-name credit derivatives and application to CDOs (2009)Risk Analysis of Collateralized Debt Obligations (2010)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Recovering volatility from option prices by evolutionary optimization (2005)Rare events, splitting, and quasi-Monte Carlo (2007)Self-Exciting Jumps, Learning, and Asset Pricing Implications (2014)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)The systemic risk of European banks during the financial and sovereign debt crises (2015)Searching for innovation: Product, process, and business model innovations and search behavior in established firms (2018)A partial sampling method applied to the Kusuoka approximation (2003)Approximate Formulas for Zero‐coupon Bonds (2007)Volatility and Volume Effects in European Electricity Spot Markets (2010)
this work references cited by second hop

References

  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2004Feynman-Kac Formulae769 cited
  • 2005Importance Sampling for Portfolio Credit Risk322 cited
  • 2008PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES108 cited
  • 2007LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK70 cited
  • 2009Interacting particle systems for the computation of rare credit portfolio losses58 cited
  • 2007Chapter 11 Valuation of Basket Credit Derivatives in the Credit Migrations Environment54 cited
  • 2009Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives48 cited
  • 1994Applied mathematical finance35 cited

Cited by

  • 2015Affine Point Processes: Approximation and Efficient Simulation25 cited
  • 2010Exact and Efficient Simulation of Correlated Defaults24 cited

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