Optimale importance sampling in Markovketens: Efficiënte simulatie zeldzame gebeurtenissen

Title

Optimale importance sampling in Markovketens: Efficiënte simulatie zeldzame gebeurtenissen

Author

Scholten, F.J.M.

Contributor

Meester, L.E. (mentor)
Dubbeldam, J.L.A. (mentor)
Keijzer, M. (mentor)

Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Applied mathematics

Date

2015-08-27

Abstract

Toepassing importance sampling op credit risk probleem met onafhankelijke schuldenaren.

Subject

importance sampling
credit risk
monte carlo
variance reduction

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http://resolver.tudelft.nl/uuid:7d147a5f-2f40-4b34-b1d6-13c04f079862

Part of collection

Student theses

Document type

bachelor thesis

Rights

(c) 2015 Scholten, F.J.M.