Proxy Simulation Schemes for Generic Robust Monte-Carlo Sensitivities, Process Oriented Importance Sampling and High Accuracy Drift Approximation (with Applications to the Libor Market Model)
Year: 2005
Type: preprint
Source: SSRN Electronic Journal
DOI: 10.2139/ssrn.702642
Authors: Christian P. Fries, Joerg Kampen
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2220860686
