Stochastic local intensity loss models with interacting particle systems (Q2799999)
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scientific article; zbMATH DE number 6568857
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic local intensity loss models with interacting particle systems |
scientific article; zbMATH DE number 6568857 |
Statements
14 April 2016
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stochastic local intensity model
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interacting particle systems
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loss modeling
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credit derivatives
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Monte Carlo algorithm
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Fokker-Planck equation
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martingale problem
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Stochastic local intensity loss models with interacting particle systems (English)
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