Tsviliuk, O., Melnik, R., Zhang, D.
in book "Applications of Evolutionary Computation”, C. Di Chio et al (Eds): EvoApplications 2010, Part II, LNCS 6025, Springer-Verlag, pp. 232-241, 2010
Evolutionary computation techniques are closely connected with Monte Carlo simulations via statistical mechanics. Most practical realizations of such a connection are based on Markov chain Monte Carlo procedures and Markov chain approximation methodologies. However, such realizations face challenges when we have to deal with multivariate situations. In this contribution, we consider the development of evolutionary type Monte Carlo based algorithms for dealing with jump-diffusion stochastic processes. In particular, we focus on the first passage time problems for multivariate correlated jump-diffusion processes in the context of credit risk and the analysis of default correlations. The developed technique can be useful in option pricing as well as in other areas of complex systems analysis.
Keywords: evolutionary Monte Carlo based techniques; credit risk; default correlations; Brownian bridge simulations; complex systems; multivariate jump-diffusion processes
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