Path-dependent scenario trees for multistage stochastic programmes in finance

DOI10.1080/14697688.2010.518154zbMath1279.91171OpenAlexW1987002254MaRDI QIDQ2873550

Vittorio Moriggia, Gaetano Iaquinta, Giorgio Consigli

Publication date: 24 January 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2010.518154

zbMATH Keywords

stochastic programmingMonte Carlo methodsscenario generationfinancial applicationsinterest credit risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15) Credit risk (91G40)

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