Title :
Interacting particle algorithms for multiname portfolios
Author :
Patras, Frédéric
Author_Institution :
Lab. J.-A. Dieudonne, Univ. de Nice et CNRS, Nice, France
fDate :
June 28 2010-July 2 2010
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;
Conference_Titel :
High Performance Computing and Simulation (HPCS), 2010 International Conference on
Conference_Location :
Caen, France
Print_ISBN :
978-1-4244-6827-0
DOI :
10.1109/HPCS.2010.5547111
