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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
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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
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An application of the IFM method for the risk assessment of financial instruments
Pons, Adrià; Cristobal-Fransi, Eduard; Vintrò, Carla; … - In: Computational economics 61 (2023) 1, pp. 295-315
Persistent link: https://www.econbiz.de/10014228427
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A modified least-squares simulation approach to value American barrier options
Zhang, Lihua; Zhang, Weiguo; Xu, Weijun; Shi, Xiang - In: Computational economics 44 (2014) 4, pp. 489-506
Persistent link: https://www.econbiz.de/10010489859
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Enhancing quasi-Monte Carlo simulation by minimizing effective dimension for derivative pricing
Xiao, Ye; Wang, Xiaoqun - In: Computational economics 54 (2019) 1, pp. 343-366
Persistent link: https://www.econbiz.de/10012134177
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Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks
Yu, Chao; Wang, Xiaoqun - In: Computational economics 62 (2023) 1, pp. 325-360
Persistent link: https://www.econbiz.de/10014327500
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Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
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Valuation of R&D investment opportunities with the threat of compentitors entry in real option analysis
Villani, Giovanni - In: Computational economics 43 (2014) 3, pp. 330-355
Persistent link: https://www.econbiz.de/10010258806
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A neural network approach to value R&D compound american exchange option
Villani, Giovanni - In: Computational economics 60 (2022) 1, pp. 305-324
Persistent link: https://www.econbiz.de/10013262680
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An integrated Quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering
He, Zhijian; Wang, Xiaoqun - In: Computational economics 57 (2021) 2, pp. 693-718
Persistent link: https://www.econbiz.de/10012486953