Méthodes de Monte Carlo appliquées au pricing d ... - Maths-fi.com

5.3. Calcul de la charge en capital pour le risque opérationnel[16] Johnson, M.E. [1987], Multivariate Statistical Simulation, John Wiley & Sons, New York[17] Kloeden, P.E. and E. Platen [1995] Numerical solution of stochastic differential equations,Strpinger-Verlag[18] Newton, N.J. [1994] Variance Reduction for Simulated diffusions”, SIAM J. Appl. Math. 54,1780-1805[19] Nelsen, R.B. [1999], An Introduction to Copulas, Lectures Notes in Statistics, 139, Springer-Verlag, New York[20] Ostrowski, A.M. [1973], Solutions to equations in Euclidean and Banach spaces, AcademicPress, New York[21] Casella, G, and C.P. Robert [2000], Monte Carlo Statistical Methods, Springer-Verlag[22] Rubinstein, R.Y., [1981] Simulation and the Monte Carlo Method, J. Wiley, New York.[23] Press, W.H., S.A. Teukolsky, W.T. Vetterling et B.P. Flannery [1992], NumericalRecipes in Fortran, second edition, Cambridge University Press, Cambridge[24] Shorack, G.R. et J.A. Wellner [1986], Empirical Processes with Applications to Statistics,John Wiley & Sons, New York78