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Asymptotically optimal importance sampling and stratification for pricing path-dependent options

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 9 (1999) 2, pp. 117-152

Persistent link: https://www.econbiz.de/10001372181

Portfolio value-at-risk with heavy-tailed risk factors

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - 2000

Persistent link: https://www.econbiz.de/10001496087

Importance sampling in the Health-Jarrow-Morton framework

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 32-50

Persistent link: https://www.econbiz.de/10001432466

Variance Reduction Techniques for Simulating Value-at-Risk

Glasserman, Paul - 2011

This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation. Obtaining accurate estimates of such loss probabilities is essential to calculating value-at-risk, which is a quantile of the loss distribution. The method employs...

Persistent link: https://www.econbiz.de/10012757382