In this contribution, we consider the development of evolutionary type Monte Carlo based algorithms for dealing with jump-diffusion stochastic processes. In ...
In particular, we focus on the first passage time problems for multivariate correlated jump-diffusion processes in the context of credit risk and the analysis ...
In particular, we focus on the first passage time problems for multivariate correlated jump-diffusion processes in the context of credit risk and the analysis ...
In particular, we focus on the first passage time problems for multivariate correlated jump-diffusion processes in the context of credit risk and the analysis ...
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Evolutionary Monte Carlo Based Techniques for First Passage Time Problems in Credit Risk and Other Applications in Finance. Olena Tsviliuk, Roderick V. N. ...
Bibliographic details on Evolutionary Monte Carlo Based Techniques for First Passage Time Problems in Credit Risk and Other Applications in Finance.
Apr 25, 2024 · Olena Tsviliuk, Roderick VN Melnik, Di Zhang: Evolutionary Monte Carlo Based Techniques for First Passage Time Problems in Credit Risk and Other Applications ...
In this paper, we propose a Monte-Carlo-based methodology for the solution of the first passage time problem in the context of multivariate (and correlated) ...
Missing: Evolutionary | Show results with:Evolutionary
In this paper, we propose a Monte-Carlo-based methodology for the solution of the FPT problem in the context of multivariate (and correlated) JDPs. The ...
In this paper, we propose a Monte-Carlo-based methodology for the solution of the FPT problem in the context of multivariate (and correlated) JDPs. The ...