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Derivatives and credit risk: enhanced quasi-monte carlo methods with dimension reduction

Junichi Imai, Ken Seng Tan. Derivatives and credit risk: enhanced quasi-monte carlo methods with dimension reduction. 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 1502-1510, ACM, 2002. [doi]

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Junichi Imai

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Ken Seng Tan

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