Hybrid Monte Carlo-Methods in Credit Risk Management

Lucia Del Chicca; Gerhard Larcher

doi:10.1515/mcma-2014-0004

Hybrid Monte Carlo-Methods in Credit Risk Management

Lucia Del Chicca
, Gerhard Larcher

Institute of Financial Mathematics and Applied Number Theory

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	245-260
Number of pages	16
Journal	Monte Carlo Methods and Applications
Volume	20
Issue number	4
DOIs	https://doi.org/10.1515/mcma-2014-0004
Publication status	Published - 01 Dec 2014

Fields of science

101 Mathematics
101007 Financial mathematics
101019 Stochastics
101025 Number theory

JKU Focus areas

Computation in Informatics and Mathematics

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10.1515/mcma-2014-0004

Cite this

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title = "Hybrid Monte Carlo-Methods in Credit Risk Management",

author = "\{Del Chicca\}, Lucia and Gerhard Larcher",

year = "2014",

month = dec,

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doi = "10.1515/mcma-2014-0004",

language = "English",

volume = "20",

pages = "245--260",

journal = "Monte Carlo Methods and Applications",

issn = "0929-9629",

publisher = "De Gruyter",

number = "4",

}

TY - JOUR

T1 - Hybrid Monte Carlo-Methods in Credit Risk Management

AU - Del Chicca, Lucia

AU - Larcher, Gerhard

PY - 2014/12/1

Y1 - 2014/12/1

UR - http://arxiv.org/abs/1405.1831

UR - https://www.scopus.com/pages/publications/84915817480

U2 - 10.1515/mcma-2014-0004

DO - 10.1515/mcma-2014-0004

M3 - Article

SN - 0929-9629

VL - 20

SP - 245

EP - 260

JO - Monte Carlo Methods and Applications

JF - Monte Carlo Methods and Applications

IS - 4

ER -

Hybrid Monte Carlo-Methods in Credit Risk Management

Fields of science

JKU Focus areas

Access to Document

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Cite this