Zhiyong Chen, Paul Glasserman. Approximations and control variates for pricing portfolio credit derivatives. In Shane G. Henderson, Bahar Biller, Ming-Hua Hsieh, John Shortle, Jeffrey D. Tew, Russell R. Barton, editors, Proceedings of the Winter Simulation Conference, WSC 2007, Washington, DC, USA, December 9-12, 2007. pages 976-983, WSC, 2007. [doi]
Abstract is missing.