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Derivatives and credit risk: importance sampling for multimodal functions and application to pricing exotic options.

Athanassios N. Avramidis
Published in: WSC (2002)
Keyphrases
  • importance sampling
  • credit risk
  • monte carlo
  • decision making
  • multi objective
  • model selection
  • machine learning
  • decision trees
  • objective function
  • evolutionary algorithm
  • markov chain
  • evaluation method