Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation

DOI10.1007/978-3-642-27440-4_22zbMath1271.65023OpenAlexW70297813MaRDI QIDQ5326120

Chuan-Hsiang Han

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-27440-4_22

zbMATH Keywords

singular perturbation methodstochastic correlationimportance sampling methodjoint default probabilities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Cites Work

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• Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
• Singular Perturbations for Boundary Value Problems Arising from Exotic Options
• Credit risk: Modelling, valuation and hedging

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