We would like to thank Benjamin Jourdain (Université Paris-Est) for fruitful discussions having stimulated this research. We would like to thank INRIA Paris Rocquencourt for allowing us to run our numerical tests on the convergence rate on their RIOC cluster. A. Alfonsi acknowledges the support of the “Chaire Risques Financiers” of Fondation du Risque. This project partly benefited from the support of the Finance for Energy Market Research Centre, www.fime-lab.org.
STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS
Version of Record online: 2 DEC 2013
© 2013 Wiley Periodicals, Inc.
Volume 26, Issue 2, pages 366–394, April 2016
How to Cite
Alfonsi, A., Labart, C. and Lelong, J. (2016), STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS. Mathematical Finance, 26: 366–394. doi: 10.1111/mafi.12059
- Issue online: 8 MAR 2016
- Version of Record online: 2 DEC 2013
- Manuscript Revised: 1 AUG 2013
- Manuscript Received: 1 FEB 2013
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