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摘要翻译：
本文利用混合蒙特卡罗-最优量化方法，在给定企业信用违约率结构模型的情况下，对部分信息下企业的条件生存概率进行了近似。我们考虑了当企业的价值是一个不可观测的随机过程$(V_t)_{t\geq0}$，而市场上的逆变者可以进入一个过程$(S_t)_{t\geq0}$，该过程在每个时刻t的价值与$(V_s,s\leqt)$有关。我们对给定“投资者信息”的企业的条件生存概率的计算感兴趣。作为一个应用，我们用两个例子分析了零息票债券的信用利差曲线的形状。
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英文标题：
《An application to credit risk of a hybrid Monte Carlo-Optimal
quantization method》
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作者：
Giorgia Callegaro, Abass Sagna (PMA)
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the firm's value is a non-observable stochastic process $(V_t)_{t \geq 0}$ and inverstors in the market have access to a process $(S_t)_{t \geq 0}$, whose value at each time t is related to $(V_s, s \leq t)$. We are interested in the computation of the conditional survival probabilities of the firm given the "investor information". As a application, we analyse the shape of the credit spread curve for zero coupon bonds in two examples.
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PDF链接：
https://arxiv.org/pdf/0907.0645
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