Sum of Bernoulli Mixtures: Beyond Conditional Independence von Bae, Taehan, Iscoe, Ian

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On the limit of conditional Spearman’s rho under the common factor model von Bae, Taehan, Iscoe, Ian

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Large-sample confidence intervals for risk measures of location–scale families von Bae, Taehan, Iscoe, Ian

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Sensitivity Ranks by Monte Carlo von Iscoe, Ian, Kreinin, Alexander

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Valuing Retail Credit Tranches with Structural, Double Mixture Models von Bae, Taehan, Iscoe, Ian, Kim, Changki

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Portfolio credit-risk optimization von Iscoe, Ian, Kreinin, Alexander, Mausser, Helmut, Romanko, Oleksandr

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Valuation of synthetic CDOs von Iscoe, Ian, Kreinin, Alexander

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A semi-analytical method for VaR and credit exposure analysis von De Prisco, Ben, Iscoe, Ian, Kreinin, Alexander, Nagi, Ahmed

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Large Pool Approximations

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Parallel generation of random numbers von Iscoe, Ian S, Lakhany, Asif

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PARALLEL GENERATION OF RANDOM NUMBERS von Iscoe Ian S, Lakhany Asif

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Adaptive Simulation of the Heston Model von Iscoe, Ian, Lakhany, Asif

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Correlations under Stress von Iscoe, Ian, Bae, Taehan

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Adaptive Simulation of the Heston Model von Iscoe, Ian, Lakhany, Asif

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A microscopic mechanism for the porous medium equation von Feng, Shui, Iscoe, Ian, Seppäläinen, Timo

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A class of stochastic evolutions that scale to the porous medium equation von Feng, Shui, Iscoe, Ian, Seppäläinen, Timo

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Systems and methods for compound risk factor sampling with integrated market and credit risk von De Prisco, Ben, Iscoe, Ian, Jiang, Yijun, Mausser, Helmut

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Systems and methods for compound risk factor sampling with integrated market and credit risk von De Prisco, Ben, Iscoe, Ian, Jiang, Yijun, Mausser, Helmut

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Systems and methods for compound risk factor sampling with integrated market and credit risk von De Prisco, Ben, Iscoe, Ian, Jiang, Yijun, Mausser, Helmut

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Systems and methods for compound risk factor sampling with integrated market and credit risk von DE PRISCO BEN, JIANG YIJUN, MAUSSER HELMUT, ISCOE IAN

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