Efficient VaR and CSaR measurement via stochastic kriging
Year of publication: |
2016
|
---|---|
Authors: | Chen, Xi ; Kim, Kyoung-Kuk |
Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 28.2016, 4, p. 629-644
|
Subject: | simulation output analysis | simulation theory | metamodeling | experimental design | Theorie | Theory | Simulation | Stochastischer Prozess | Stochastic process | Experiment | Messung | Measurement |
-
A Bayesian framework for quantifying uncertainty in stochastic simulation
Xie, Wei, (2014)
-
Sample and computationally efficient stochastic kriging in high dimensions
Ding, Liang, (2024)
-
Wagner, Stefan, (2021)
- More ...
-
Saddlepoint approximations for affine jump-diffusion models
Glasserman, Paul, (2009)
-
Moment explosions and stationary distributions in affine diffusion models
Glasserman, Paul, (2010)
-
Gamma expansion of the Heston stochastic volatility model
Glasserman, Paul, (2011)
- More ...