Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives

Methodology and Computing in Applied Probability - Tập 17 Số 3 - Trang 579-604 - 2015
Karolina Bujok1, Ben Hambly1, Christoph Reisinger1
1Mathematical Institute, Oxford University, 24–29 St Giles, Oxford, OX1 3LB, UK

Tóm tắt

Từ khóa


Tài liệu tham khảo

Altman EI, Brady B, Resti A, Sironi A (2005) The link between default and recovery rates: theory, empirical evidence, and implications. J Bus 78(6):2203–2208

Andersen L, Sidenius J (2005) Extensions to the Gaussian copula: random recovery and random factor loadings. J Credit Risk 1(1):29–70

Belomestny D, Schoenmakers J, Dickmann F (2013) Multilevel dual approach for pricing American style derivatives. Finance Stochast. doi: 10.1007/s00780-013-0208-5

Bujok K, Reisinger C (2012) Numerical valuation of basket credit derivatives in structural jump-diffusion models. J Comp Fin 15(4):115–158

Bush N, Hambly B, Jin L, Haworth H, Reisinger C (2011) Stochastic evolution equations in portfolio credit modelling. SIAM J Finan Math 2:627–664

Chen N, Glynn P, Liu Y (2012) Computing functions of conditional expectation via multilevel nested simulation. In: Conference Presentation at MCQMC

Dembo A, Deuschel J-D, Duffie D (2004) Large portfolio losses. Finance Stochast 8:3–16

Dembo A, Zeitouni O (1993) Large deviations techniques and applications, 1st edn. Jones and Bartlett Pulishers, Boston

Giesecke K, Spiliopoulos K, Sowers RB, Sirignano JA (2012) Large portfolio asymptotics for loss from default. Math Finance. doi: 10.1111/mafi.12011

Kallenberg O (2005) Probabilisitc symmetries and invariance principles. Springer, New York (2005)

Giles M (2008) Multi-level Monte Carlo path simulation. Oper Res 56:607–617

Glasserman P, Kang W, Shahabuddin P (2007) Large deviations in multifactor portfolio credit risk. Math Finance 17(3):345–379 (2007)

Lipton A (2002) Assets with jumps. RISK 15(9):149–153

Vasicek O (1991) Limiting loan loss probability distribution. KMV Corporation, Document Number: 999−0000−046