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1. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling
Master-uppsats, KTH/Matematisk statistikSammanfattning : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. LÄS MER
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