Athanassios N. Avramidis. Derivatives and credit risk: importance sampling for multimodal functions and application to pricing exotic options. In Jane L. Snowdon, John M. Charnes, editors, Proceedings of the 34th Winter Simulation Conference: Exploring New Frontiers, San Diego, California, USA, December 8-11, 2002. pages 1493-1501, ACM, 2002. [doi]
Abstract is missing.