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~person:"Fu, Michael"
~subject:"Monte Carlo simulation"
~subject:"sensitivity analysis"
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Monte Carlo simulation
sensitivity analysis
Sensitivity analysis
5
Sensitivitätsanalyse
5
Monte-Carlo-Simulation
4
Simulation
4
Estimation theory
3
Portfolio selection
3
Portfolio-Management
3
Schätztheorie
3
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2
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2
Theorie
2
Theory
2
Conditional Monte Carlo
1
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Credit derivative
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Credit risk
1
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Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
Measurement
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Multivariate Verteilung
1
Multivariate distribution
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Regression analysis
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Stochastic gradient estimation
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asymptotic analysis
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distortion risk measure
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functional limit theory
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generalized likelihood ratio method
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gradient estimation
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gradient-based MLE
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quantile
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simulation
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5
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Fu, Michael
Bonhomme, Stéphane
12
Weidner, Martin
12
Heidergott, Bernd
8
Kleijnen, Jack P.C.
8
Chen, Siyan
7
Desiderio, Saul
7
Basu, Deepankar
6
Caliendo, Marco
6
Holder, A.G.
5
Minoiu, Camelia
5
Sturm, J.F.
5
Sturm, Jan-Egbert
5
Becker, Sascha O.
4
Bia, Michela
4
Chessa, Antonio G.
4
Conti, Gabriella
4
Flores-Lagunes, Alfonso
4
Garg, Dixit
4
Heijungs, Reinout
4
Khan, Sharfuddin Ahmed
4
Kim, Wooyoung
4
Kwon, Koohyun
4
Kwon, Soonwoo
4
Lamla, Michael
4
Lee, Sokbae
4
Melnychuk, Mariya
4
Mercatanti, Andrea
4
Morris, Stephen
4
Peng, Yijie
4
Pizzo, Elena
4
Roos, K.
4
Schouwstra, Marije C.
4
Terlaky, T.
4
Vazquez-Abad, Felisa J.
4
Velez-Pareja, Ignacio
4
Wozniak, Marcin
4
Zhang, S.
4
Araque-Padilla, Rafael Ángel
3
Banerjee, A.N.
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Operations research
2
European journal of operational research : EJOR
1
INFORMS journal on computing : JOC
1
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1
Computing sensitivities for distortion risk measures
Glynn, Peter W.
;
Peng, Yijie
;
Fu, Michael
;
Hu, Jian-Qiang
- In:
INFORMS journal on computing : JOC
33
(
2021
)
4
,
pp. 1520-1532
Persistent link: https://www.econbiz.de/10012796944
Saved in:
2
Copula
sensitivity
analysis
for portfolio credit derivatives
Lei, Lei
;
Peng, Yijie
;
Fu, Michael
;
Hu, Jian-Qiang
- In:
European journal of operational research : EJOR
308
(
2023
)
1
,
pp. 455-466
Persistent link: https://www.econbiz.de/10014283065
Saved in:
3
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
Saved in:
4
Sensitivity
Analysis
of Portfolio Credit Derivatives by Conditional Monte Carlo Simulation
Lei, Lei
-
2019
We study
sensitivity
analysis
of portfolio credit derivatives, including basket default swaps and collateralized debt …
Persistent link: https://www.econbiz.de/10012868440
Saved in:
5
On estimating quantile sensitivities via infinitesimal perturbation analysis
Jiang, Guangxin
;
Fu, Michael
- In:
Operations research
63
(
2015
)
2
,
pp. 435-441
Persistent link: https://www.econbiz.de/10010526698
Saved in:
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