Lecture Notes-Monograph Series, Vol. 52, Time Series and Related Topics: In Memory of Ching-Zong Wei (2006), pp. 236-244 (9 pages) This exposition explains the basic ideas of Stein's method for ...
This paper describes a new numerical method, based on Stein’s method and zero bias transformation, of computing collateralized debt obligation (CDO) tranche prices. We propose first-order correction ...
The framework of Stein's method for Poisson process approximation is presented from the point of view of Palm theory, which is used to construct Stein identities and define local dependence. A general ...
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