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A measure-valued differentiation approach to sensitivity analysis of quantiles
Heidergott, Bernd; Volk-Makarewicz, Warren - 2013
Persistent link: https://www.econbiz.de/10010191394
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A smoothed perturbation analysis approach to parisian options
Heidergott, Bernd; Leahu, Haralambie; Volk-Makarewicz, … - 2013
Persistent link: https://www.econbiz.de/10010246258
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A measure-valued differentiation approach to sensitivities of quantiles
Heidergott, Bernd; Volk-Makarewicz, Warren - In: Mathematics of operations research 41 (2016) 1, pp. 293-317
Persistent link: https://www.econbiz.de/10011448383
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Maximum likelihood estimation by Monte Carlo simulation : toward data-driven stochastic modeling
Peng, Yijie; Fu, Michael; Heidergott, Bernd; Lam, Henry - In: Operations research 68 (2020) 6, pp. 1896-1912
Persistent link: https://www.econbiz.de/10012392175