Increment variance reduction techniques with an application to multi-name credit derivatives
Year of publication: |
2020
|
---|---|
Authors: | Rostan, Pierre ; Rostan, Alexandra ; Racicot, François-Éric |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 55.2020, 1, p. 1-35
|
Subject: | Monte Carlo simulation | Multi-name credit derivatives | Credit derivatives pricing | Synthetic CDOs | Variance reduction technique | Derivat | Derivative | Kreditrisiko | Credit risk | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Asset-Backed Securities | Asset-backed securities | Kreditderivat | Credit derivative |
-
Affine pricing and hedging of collateralized debt obligations
Eksia, Zehra, (2020)
-
Chapter 20. Credit Derivatives
Hull, John, (2013)
-
Liu, Xianghua, (2014)
- More ...
-
Pricing discrete double barrier options with a numerical method
Rostan, Pierre, (2015)
-
A probabilistic Monte Carlo model for pricing discrete barrier and compound real options
Rostan, Pierre, (2014)
-
Where are fossil fuels prices heading?
Rostan, Pierre, (2020)
- More ...