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  • Search: subject:"variance reduction technique"
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Year of publication
Subject
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variance reduction technique 8 importance sampling 4 Expected Shortfall 3 Monte Carlo simulation 3 Value at Risk 3 Variance reduction technique 3 Varianzanalyse 3 mixture of Student-t distributions 3 numerical accuracy 3 numerical standard error 3 simulation 3 Analysis of variance 2 Bayes-Statistik 2 Maßzahl 2 Monte-Carlo-Simulation 2 Option pricing theory 2 Optionspreistheorie 2 Prognoseverfahren 2 Risikomaß 2 Statistische Verteilung 2 Theorie 2 Bayesian inference 1 Black-Scholes model 1 Black-Scholes-Modell 1 Credit derivative 1 Credit derivatives pricing 1 Credit risk 1 Derivat 1 Derivative 1 Efficient Monte Carlo 1 Forecasting model 1 GI/G/1 queues 1 GI/G/k queues 1 Kreditderivat 1 Kreditrisiko 1 Markov Switching GARCH model 1 Monte-Carlo simulation option pricing 1 Multi-name credit derivatives 1 Nikkei 225 options 1 Option trading 1
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Online availability
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Undetermined 7 Free 4
Type of publication
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Article 7 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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Undetermined 7 English 4
Author
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Hoogerheide, Lennart 3 Dijk, Herman K. van 2 Minh, Do Le 2 Racicot, François-Éric 2 Rostan, Alexandra 2 Rostan, Pierre 2 Calzolari, Giorgio 1 Fiorentini, Gabriele 1 Glasserman, Paul 1 Heidelberger, Philip 1 Iorio, Francesca Di 1 Kamizono, Kenji 1 Kariya, Takeaki 1 Liu, Regina 1 Mitsui, Hidetoshi 1 Nakatsuma, Teruo 1 Satoyoshi, Kiyotaka 1 Shahabuddin, Perwez 1 van Dijk, Herman K. 1
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Institution
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Instituto Valenciano de Investigaciones Económicas (IVIE) 1 Tinbergen Instituut 1
Published in...
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Management Science 3 Asia-Pacific Financial Markets 2 Computational economics 1 Discussion paper / Tinbergen Institute 1 The journal of asset management 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1 Working Papers. Serie AD 1
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Source
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RePEc 7 ECONIS (ZBW) 3 EconStor 1
Showing 11 - 11 of 11
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Simulating GI/G/k Queues in Heavy Traffic
Minh, Do Le - In: Management Science 33 (1987) 9, pp. 1192-1199
This paper proposes a new consistent estimator for the expected waiting time in queue in the simulation of a multiserver queueing system. This estimator is called the "error estimator" because it estimates only the error involved in the use of Kingman's heavy traffic approximation. Not only does...
Persistent link: https://www.econbiz.de/10009208511
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