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math.PR2013
Importance sampling for jump processes and applications to finance
Laetitia Badouraly Kassim, Jérôme Lelong, Imane Loumrhari
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian driven diffusions. In this work, we want to extend them to jump processes. Our approac…
math.PR2013★ 5 cited
Stochastic Local Intensity Loss Models with Interacting Particle Systems
Aurélien Alfonsi, Céline Labart, Jérôme Lelong
It is well-known from the work of Schönbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose determini…