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    WSC
    2007
    120views Modeling And Simulation» more  WSC 2007»
    Importance sampling of compounding processes
    14 years 1 months ago
    Importance sampling of compounding processes
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    Compounding processes, also known as perpetuities, play an important role in many applications; in particular, in time series analysis and mathematical finance. Apart from some s...
    Jose Blanchet, Bert Zwart
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