Stochastic Local Intensity Loss Models with Interacting Particle Systems
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References listed on IDEAS
- Carol Alexander & Leonardo Nogueira, 2004. "Stochastic Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2008-02, Henley Business School, Reading University, revised Mar 2008.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-16 (All new papers)
- NEP-CMP-2013-02-16 (Computational Economics)
- NEP-ORE-2013-02-16 (Operations Research)
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