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On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Jiang, Guangxin; Xu, Chenglong; Fu, Michael - In: Operations research letters 44 (2016) 1, pp. 44-49
Persistent link: https://www.econbiz.de/10011455555
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Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
Vatamidou, Eleni; Adan, Ivo; Vlasiou, Maria; Zwart, Bert - In: Insurance 53 (2013) 2, pp. 366-378
Persistent link: https://www.econbiz.de/10010195917
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Exact multivariate workload asymptotics
Es-Saghouani, A.; Mandjes, Michel - In: Mathematical methods of operations research 78 (2013) 3, pp. 405-415
Persistent link: https://www.econbiz.de/10010227444
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Second order risk aggregation with the Bernstein copula
Coqueret, Guillaume - In: Insurance 58 (2014), pp. 150-158
Persistent link: https://www.econbiz.de/10010437578
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A multivariate pure-jump model with multi-factorial dependence structure
Marfè, Roberto - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10009624464
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Bias in the estimation of mean reversion in continuous-time Lévy processes
Bao, Yong; Ullah, Aman; Wang, Yun; Yu, Jun - In: Economics letters 134 (2015), pp. 16-19
Persistent link: https://www.econbiz.de/10011432138
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Marginal consistent dependence modelling using weak subordination for Brownian motions
Michaelsen, Markus; Szimayer, Alexander - In: Quantitative finance 18 (2018) 11, pp. 1909-1925
Persistent link: https://www.econbiz.de/10012262863
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Local density estimation in high dimensions
Wu, Xian; Charikar, Moses; Natchu, Vishnu - In: Mathematics of operations research 47 (2022) 4, pp. 2614-2640
Persistent link: https://www.econbiz.de/10014311345
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A hybrid nonparametric multivariate density estimator with applications to risk management
Lin, Juan; Wu, Ximing - In: Econometric reviews 43 (2024) 5, pp. 301-318
Persistent link: https://www.econbiz.de/10014551523
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Adaptive importance sampling for efficient stochastic root finding and quantile estimation
He, Shengyi; Jiang, Guangxin; Lam, Henry; Fu, Michael - In: Operations research 72 (2024) 6, pp. 2612-2630
Persistent link: https://www.econbiz.de/10015371528