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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 期刊論文 >  Efficient Importance Sampling Estimation for Joint Default Probability: the First Passage Time Problem


    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62084


    Title: Efficient Importance Sampling Estimation for Joint Default Probability: the First Passage Time Problem
    Authors: C.-H. Han
    教師: 韓傳祥
    Date: 2010
    Publisher: The Workshop on Stochastic Analysis & Finance
    Relation: Proceedings of the Workshop on Stochastic Analysis and Finance,The Workshop on Stochastic Analysis & Finance,2010
    Keywords: Efficient
    Sampling
    Joint Default Probability
    Passage Time
    Abstract: Motivated from credit risk modeling, this paper extends the two-dimensional rst passage time problem studied by Zhou (2001) to any nite dimension by means of Monte Carlo simulation. We provide an importance sampling method to estimate the joint default probabil-ity, and apply the large deviation principle to prove that the proposed importance sampling is asymptotically optimal. Our result is an al-ternative to the interacting particle systems proposed by Carmona, Fouque, and Vestal (2009).
    URI: http://mx.nthu.edu.tw/~chhan/wasf09_han.v3.pdf
    http://www6.cityu.edu.hk/ma/wsaf09/
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62084
    Appears in Collections:[計量財務金融學系] 期刊論文

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