A weak MLMC scheme for L\'evy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives

Aleksandar Mijatović, Romain Palfray

Publication date: 4 November 2022

Processes with independent increments; Lévy processes (60G51)

This page was built for publication: A weak MLMC scheme for L\'evy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives