STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS

DOI10.1111/mafi.12059zbMath1348.91276arXiv1302.2009OpenAlexW3124541675MaRDI QIDQ2799999

Aurélien Alfonsi, Céline Labart, Jérôme Lelong

Publication date: 14 April 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.2009

zbMATH Keywords

Fokker-Planck equationMonte Carlo algorithmcredit derivativesinteracting particle systemsmartingale problemloss modelingstochastic local intensity model

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting particle systems in time-dependent statistical mechanics (82C22) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites Work

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