Valuing Credit Risk - Variance Reduction Techniques for Monte Carlo Methods

Master's Thesis from the year 2003 in the subject Mathematics - Applied Mathematics, grade: 2,0 (B), Frankfurt School of Finance & Management, language: English, abstract: This paper deals with the valuation of credit risk derivatives on the basis of Monte Carlo simulation methods with the main viewpoint on variance reduction techniques. Therefore, first an overview on credit risk derivatives like...