• DocumentCode
    3515918
  • Title

    Interacting particle algorithms for multiname portfolios

  • Author

    Patras, Frédéric

  • Author_Institution
    Lab. J.-A. Dieudonne, Univ. de Nice et CNRS, Nice, France
  • fYear
    2010
  • fDate
    June 28 2010-July 2 2010
  • Firstpage
    377
  • Lastpage
    378
  • Abstract
    The present talk is based on a joint work with P. del Moral (INRIA Bordeaux) [1].
  • Keywords
    Credit cards; Ethics; Filtering; Heuristic algorithms; Monte Carlo methods; Portfolios; CDOs; Interacting Particle Systems; Monte Carlo methods; credit risk;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    High Performance Computing and Simulation (HPCS), 2010 International Conference on
  • Conference_Location
    Caen, France
  • Print_ISBN
    978-1-4244-6827-0
  • Type

    conf

  • DOI
    10.1109/HPCS.2010.5547111
  • Filename
    5547111
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3515918