Electronic Thesis and Dissertation Repository

Degree

Doctor of Philosophy

Program

Applied Mathematics

Supervisor

Adam Metzler

Abstract

Rare event simulation is a crucial part of simulations. In financial mathematics, the study of rare events appear naturally when we consider risk measures such as the conditional value at risk. This thesis is composed of three related papers treating the rare event simulations subject: the first paper addresses rare event simulations using for diffusion processes, the second paper addresses rare event simulations for the normal and the Student t-copula model while the last paper addresses rare event simulations for a portfolio model where there is a correlation structure between the loss-given-default and the probability of default.


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