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    WSC
    2007
    198views Modeling And Simulation» more  WSC 2007»
    Approximations and control variates for pricing portfolio credit derivatives
    14 years 12 months ago
    Approximations and control variates for pricing portfolio credit derivatives
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    Portfolio credit derivatives that depend on default correlation are increasingly widespread in the credit market. Valuing such products often entails Monte Carlo simulation. Howev...
    Zhiyong Chen, Paul Glasserman
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