3 papers
q-fin.RM2018
Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations
Marius Pfeuffer, Goncalo dos Reis, Greig smith
We present two methodologies on the estimation of rating transition probabilities within Markov and non-Markov frameworks. We first estimate a continuous-time Markov chain using di…
math.PR2018
Simulation of McKean Vlasov SDEs with super linear growth
G. dos Reis, S. Engelhardt, G. Smith
We present two fully probabilistic Euler schemes, one explicit and one implicit, for the simulation of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts of supe…
math.PR2018
Importance sampling for McKean-Vlasov SDEs
Goncalo dos Reis, Greig Smith, Peter Tankov
This paper deals with the Monte-Carlo methods for evaluating expectations of functionals of solutions to McKean-Vlasov Stochastic Differential Equations (MV-SDE) with drifts of sup…