28 citations · 65 across the 13 of their papers we have counts for
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q-fin.RM2013
Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization
Damiano Brigo, Jan-Frederik Mai, Matthias Scherer
We investigate under which conditions a single simulation of joint default times at a final time horizon can be decomposed into a set of simulations of joint defaults on subsequent…
q-fin.PR2013
Pricing bonds with optional sinking feature using Markov Decision Processes
Jan-Frederik Mai, Marc Wittlinger
An efficient method to price bonds with optional sinking feature is presented. Such instruments equip their issuer with the option (but not the obligation) to redeem parts of the n…