Monte Carlo for large credit portfolios with potentially high correlations.
Jose H. BlanchetJingchen LiuXuan YangPublished in: WSC (2010)
Keyphrases
- monte carlo
- monte carlo simulation
- importance sampling
- markov chain
- simulation study
- matrix inversion
- adaptive sampling
- stochastic approximation
- monte carlo methods
- optimal strategy
- variance reduction
- monte carlo method
- uct algorithm
- monte carlo tree search
- particle filter
- markovian decision
- point processes
- policy evaluation
- light transport