Study of new rare event simulation schemes and their application to extreme scenario generation
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DOI: 10.1016/j.matcom.2017.05.004
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- René Carmona & Jean-Pierre Fouque & Douglas Vestal, 2009. "Interacting particle systems for the computation of rare credit portfolio losses," Finance and Stochastics, Springer, vol. 13(4), pages 613-633, September.
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Keywords
Extreme scenario; Rare event; Markov chains; Ergodic properties; Interacting particle systems;All these keywords.
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