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math.PR2021
Unbiased Simulation Estimators for Multivariate Jump-Diffusions
Guanting Chen, Alex Shkolnik, Kay Giesecke
We develop and analyze a class of unbiased Monte Carlo estimators for multivariate jump-diffusion processes with state-dependent drift, volatility, jump intensity and jump size. A…
math.PR2013
Fluctuation Analysis for the Loss From Default
Konstantinos Spiliopoulos, Justin A. Sirignano, Kay Giesecke
We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak co…