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Monte Carlo method and credit deriva...

Pollmann, Sandra.

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Monte Carlo method and credit derivatives.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Monte Carlo method and credit derivatives./
Author:	Pollmann, Sandra.
Description:	99 p.
Notes:	Source: Masters Abstracts International, Volume: 42-06, page: 2216.
Contained By:	Masters Abstracts International42-06.
Subject:	Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1420394
ISBN:	0496251430

Monte Carlo method and credit derivatives.
Pollmann, Sandra.

Monte Carlo method and credit derivatives. - 99 p.

Source: Masters Abstracts International, Volume: 42-06, page: 2216.

Thesis (M.S.)--University of Southern California, 2003.

In recent years, the use of credit derivatives to hedge credit risk is becoming increasingly popular. Current advances by both practitioners and academic researchers in the area of fast convergence methods make Monte Carlo simulations more and more frequently the method of choice to value credit derivatives. Our goal is to increase the efficiency of the Monte Carlo method by using variance reduction techniques with the main focus lying on importance sampling. To achieve this, sampling is restricted to the region of importance where the evaluated indicator function of the credit default times does not vanish. This technique is then applied to the one- and multi-dimensional credit case where we will derive exponential as well as normal importance sampling densities.

ISBN: 0496251430Subjects--Topical Terms:

515831
Mathematics.

Monte Carlo method and credit derivatives.
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100 1 $a Pollmann, Sandra. $3 1934200
245 1 0 $a Monte Carlo method and credit derivatives.
300 $a 99 p.
500 $a Source: Masters Abstracts International, Volume: 42-06, page: 2216.
500 $a Adviser: Remigijus Mikulevicius.
502 $a Thesis (M.S.)--University of Southern California, 2003.
520 $a In recent years, the use of credit derivatives to hedge credit risk is becoming increasingly popular. Current advances by both practitioners and academic researchers in the area of fast convergence methods make Monte Carlo simulations more and more frequently the method of choice to value credit derivatives. Our goal is to increase the efficiency of the Monte Carlo method by using variance reduction techniques with the main focus lying on importance sampling. To achieve this, sampling is restricted to the region of importance where the evaluated indicator function of the credit default times does not vanish. This technique is then applied to the one- and multi-dimensional credit case where we will derive exponential as well as normal importance sampling densities.
590 $a School code: 0208.
650 4 $a Mathematics. $3 515831
650 4 $a Economics, Finance. $3 626650
690 $a 0405
690 $a 0508
710 2 0 $a University of Southern California. $3 700129
773 0 $t Masters Abstracts International $g 42-06.
790 1 0 $a Mikulevicius, Remigijus, $e advisor
790 $a 0208
791 $a M.S.
792 $a 2003
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1420394