Let X(t), t ∈ ℝd, be a centered Gaussian random field with continuous trajectories and set ξu(t) = X(f(u)t), t ∈ ℝd, with f some positive function. Using classical results we can establish the tail ...

Journal of Applied Probability, Vol. 58, No. 3 (SEPTEMBER 2021), pp. 693-707 (15 pages) We study, under mild conditions, the weak approximation constructed from a standard Poisson process for a class ...

An important part of the marginal maximum likelihood method described previously is the computation of the integral over the random effects. The default method in PROC NLMIXED for computing this ...

Stein's method has emerged as a powerful and versatile tool in probability theory for deriving error bounds in distributional approximations. Originally developed to ...

In this paper we consider the large homogeneous portfolio (LHP) approximation with a two-factor Gaussian copula and random recovery rate. In addition, we assume that the earlier the default occurs, ...

This paper describes a new numerical method, based on Stein’s method and zero bias transformation, of computing collateralized debt obligation (CDO) tranche prices. We propose first-order correction ...