Efficient randomized quasi-Monte Carlo methods for portfolio market risk
Year of publication: |
September 2017
|
---|---|
Authors: | Sak, Halis ; Başoğlu, İsmail |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 76.2017, p. 87-94
|
Subject: | Risk management | Quasi-Monte Carlo | Importance sampling | Stratified sampling | t-copula | Risikomanagement | Monte-Carlo-Simulation | Monte Carlo simulation | Stichprobenerhebung | Sampling | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
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