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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
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Portfolio value-at-risk with heavy-tailed risk factors
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - 2000
Persistent link: https://www.econbiz.de/10001496087
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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
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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
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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