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20102022
most citedThe cut-off phenomenon for Brownian motions on symmetric spaces of compact type

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q-fin.CP2022

Mod-Poisson approximation schemes: Applications to credit risk

Pierre-Loïc Méliot, Ashkan Nikeghbali, Gabriele Visentin

We introduce a new numerical approximation method for functionals of factor credit portfolio models based on the theory of mod- convergence and mod- approximation schemes. Th…