the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

not too rare to be found by a reasonable mutation process, and that typical simulation paths take the population from …

simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where … preferred discretisation method for simulation of the Heston model and extensions thereof. …

sophisticated neural network simulation techniques is explored. In all examples considered in this paper – a bimodal distribution of …