Published November 29, 2022
| Version v2
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Credit Pricing Model Monte Carlo Acceleration
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Description
A new procedure is presented to accelerate the convergence of Monte Carlo simulations using the Default Correlation model. It is found that the modifications have been implemented correctly, and that the modifications result in a substantial improvement in the convergence rate of the Monte Carlo simulation models.
Notes
https://ia601505.us.archive.org/8/items/brownian-bridge/BrownianBridge.pdf
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CreditAcceleration.pdf
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(154.7 kB)
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