@article {67,
	title = {An application to credit risk of a hybrid Monte Carlo-Optimal quantization method},
	year = {2009},
	abstract = {In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the firm{\textquoteright}s value is a non-observable stochastic process $(V_t)_{t \geq 0}$ and inverstors in the market have access to a process $(S_t)_{t \geq 0}$, whose value at each time $t$ is related to $(V_s, s \leq t)$. We are interested in the computation of the conditional survival probabilities of the firm given the "investor information". As a application, we analyse the shape of the credit spread curve for zero coupon bonds in two examples. },
	keywords = {computational finance, credit risk, Filtering, Monte-Carlo method, optimal quantization, partial information, probability, quantitative finance, risk management, structural approach, survival probabilities},
	author = {Giorgia Callegaro and Abass Sagna}
}
