Sensitivity estimates for portfolio credit derivatives using Monte Carlo.
Zhiyong ChenPaul GlassermanPublished in: Finance Stochastics (2008)
Keyphrases
- monte carlo
- importance sampling
- confidence intervals
- monte carlo simulation
- markov chain
- monte carlo methods
- monte carlo method
- higher order
- particle filter
- monte carlo tree search
- decision making
- adaptive sampling
- optimal strategy
- markovian decision
- matrix inversion
- simulation study
- policy evaluation
- markov chain monte carlo
- estimation error
- point processes
- search algorithm