Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives
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| 024 | 7 | 0 | |a 10.1007/s11009-013-9380-5 |2 doi |
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| 245 | 0 | 0 | |a Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives |h [Elektronische Daten] |c [K. Bujok, B. Hambly, C. Reisinger] |
| 520 | 3 | |a We consider N Bernoulli random variables, which are independent conditional on a common random factor determining their probability distribution. We show that certain expected functionals of the proportion L N of variables in a given state converge at rate 1/N as N → ∞. Based on these results, we propose a multi-level simulation algorithm using a family of sequences with increasing length, to obtain estimators for these expected functionals with a mean-square error of ϵ 2 and computational complexity of order ϵ −2, independent of N. In particular, this optimal complexity order also holds for the infinite-dimensional limit. Numerical examples are presented for tranche spreads of basket credit derivatives. | |
| 540 | |a Springer Science+Business Media New York, 2013 | ||
| 690 | 7 | |a Multilevel Monte Carlo simulation |2 nationallicence | |
| 690 | 7 | |a Large deviations principle |2 nationallicence | |
| 690 | 7 | |a Exchangeability |2 nationallicence | |
| 690 | 7 | |a Basket credit derivatives |2 nationallicence | |
| 700 | 1 | |a Bujok |D K. |u Mathematical Institute, Oxford University, 24-29 St Giles, Oxford, OX1 3LB, UK |4 aut | |
| 700 | 1 | |a Hambly |D B. |u Mathematical Institute, Oxford University, 24-29 St Giles, Oxford, OX1 3LB, UK |4 aut | |
| 700 | 1 | |a Reisinger |D C. |u Mathematical Institute, Oxford University, 24-29 St Giles, Oxford, OX1 3LB, UK |4 aut | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/3(2015-09-01), 579-604 |x 1387-5841 |q 17:3<579 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-013-9380-5 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-013-9380-5 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Bujok |D K. |u Mathematical Institute, Oxford University, 24-29 St Giles, Oxford, OX1 3LB, UK |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Hambly |D B. |u Mathematical Institute, Oxford University, 24-29 St Giles, Oxford, OX1 3LB, UK |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Reisinger |D C. |u Mathematical Institute, Oxford University, 24-29 St Giles, Oxford, OX1 3LB, UK |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/3(2015-09-01), 579-604 |x 1387-5841 |q 17:3<579 |1 2015 |2 17 |o 11009 | ||