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~person:"Teng, Huei-Wen"
~subject:"Bayesian inference"
~subject:"Monte Carlo method"
~subject:"Monte-Carlo-Simulation"
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Teng, Huei-Wen
Koop, Gary
150
Dijk, Herman K. van
138
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115
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92
Tsionas, Efthymios G.
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Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
2
A systematic and efficient simulation scheme for the Greeks of financial derivatives
Lyuu, Yuh-dauh
;
Teng, Huei-Wen
;
Tseng, Yao-Te
;
Wang, …
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1199-1219
Persistent link: https://www.econbiz.de/10012194755
Saved in:
3
Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der
;
Teng, Huei-Wen
;
Wang, Ren-Her
- In:
Computational economics
51
(
2018
)
4
,
pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
Saved in:
4
State price densities implied from weather derivatives
Härdle, Wolfgang
;
López Cabrera, Brenda
;
Teng, Huei-Wen
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 106-125
Persistent link: https://www.econbiz.de/10011397955
Saved in:
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