the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable …

algorithms on a number of test functions, including a simulation model for cancer screening. The results show that co! nsiderable …

and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …

simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where … preferred discretisation method for simulation of the Heston model and extensions thereof. …

maximum likelihood and it requires thesubsequent uses of the Kalman filter to treat the mean part andsampling techniques to …