Importance sampling for a simple Markovian intensity model using subsolutions (Q6638915)
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scientific article; zbMATH DE number 7944949
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Importance sampling for a simple Markovian intensity model using subsolutions |
scientific article; zbMATH DE number 7944949 |
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Importance sampling for a simple Markovian intensity model using subsolutions (English)
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14 November 2024
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large deviations
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Monte Carlo
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importance sampling
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Markovian intensity models
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credit risk
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