The goal of this thesis is to illustrate Feynman-Kac Particle Methods and develop their application in Large Deviation Theory, namely with the computation of the Scaled Cumulant Generating Function. The second part of the thesis provides an example of how Interacting Particle Methods can be used to price the risk in Structured and Derivative Credit Securities with a focus on Collateral Debt Obligations. The focus of this pricing is based on estimating the distribution of losses or quantities derived thereof.
