Narrow search
Showing 1 - 6 of 6
Cover Image
Bounds for a class of stochastic recursive equations
Liu, Zhen; Nain, Philippe; Towsley, Don - In: Mathematical methods of operations research 49 (1999) 2, pp. 325-334
Persistent link: https://www.econbiz.de/10006627410
Cover Image
ARTICLES - Multilevel Splitting for Estimating Rare Event Probabilities
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Operations research : the journal of the Operations … 47 (1999) 4, pp. 585-600
Persistent link: https://www.econbiz.de/10006419536
Cover Image
Importance Sampling in the Heath-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/10005965389
Cover Image
Variance Reduction Techniques for Estimating Value-at-Risk
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Management science : journal of the Institute for … 46 (2000) 10, pp. 1349-1364
Persistent link: https://www.econbiz.de/10006092349
Cover Image
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. 239-270
Persistent link: https://www.econbiz.de/10008216216
Cover Image
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/10008218616