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Importance sampling in the Health-Jarrow-Morton framework

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 32-50

Persistent link: https://www.econbiz.de/10001432466

Portfolio value-at-risk with heavy-tailed risk factors

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - 2000

Persistent link: https://www.econbiz.de/10001496087

Asymptotically optimal importance sampling and stratification for pricing path-dependent options

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 9 (1999) 2, pp. 117-152

Persistent link: https://www.econbiz.de/10001372181

Portfolio value-at-risk with heavy-tailed risk factors

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 12 (2002) 3, pp. 239-269

Persistent link: https://www.econbiz.de/10001686394

Variance Reduction Techniques for Simulating Value-at-Risk

Glasserman, Paul - 2011

This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation. Obtaining accurate estimates of such loss probabilities is essential to calculating value-at-risk, which is a quantile of the loss distribution. The method employs...

Persistent link: https://www.econbiz.de/10012757382

Large deviations in multifactor portfolio credit risk

Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 17 (2007) 3, pp. 345-379

Persistent link: https://www.econbiz.de/10003626548

Sensitivity analysis from sample paths using likelihoods

Heidelberger, Philip - In: Management science : journal of the Institute for … 35 (1989) 12, pp. 1475-1488

Persistent link: https://www.econbiz.de/10001082111

Convergence properties of infinitesimal perturbation analysis estimates

Heidelberger, Philip (contributor) - In: Management science : journal of the Institute for … 34 (1988) 11, pp. 1281-1302

Persistent link: https://www.econbiz.de/10001060040

A renewal theoretic approach to bias reduction in generative simulations

Meketon, Marc S.; Heidelberger, Philip - In: Management science : journal of the Institute for … 28 (1982) 2, pp. 173-181

Persistent link: https://www.econbiz.de/10003574484

Simulation run length control in the presence of an initial transient

Heidelberger, Philip; Welch, Peter D. - In: Operations research 31 (1983) 6, pp. 1109-1144

Persistent link: https://www.econbiz.de/10003574490