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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation

González Cázares, Jorge; Mijatovi´c, Aleksandar - In: Finance and stochastics 26 (2022) 4, pp. 671-732

Persistent link: https://www.econbiz.de/10013440249

A Monte Carlo method using PDE expansions for a diversifed equity index model

Heath, David C.; Platen, Eckhard - 2014

Persistent link: https://www.econbiz.de/10011344801

Variance reduction for risk measures with importance sampling in nested simulation

Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673

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Subsampling and other considerations for efficient risk estimation in large portfolios

Giles, Michael B.; Haji-Ali, Abdul-Lateef - In: The journal of computational finance 26 (2022) 1, pp. 113-140

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Value-at-risk estimation with stochastic interest rate models for option-bond portfolios

Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20

Persistent link: https://www.econbiz.de/10011807256

Simulation-based Value-at-Risk for nonlinear portfolios

Chen, Junyao; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 19 (2019) 10, pp. 1639-1658

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Estimating multifactor portfolio credit risk : a variance reduction approach

Hsieh, Ming-Hua; Lee, Yi-Hsi; Shyu, So-De; Chiu, Yu-Fen - In: Pacific-Basin finance journal 57 (2019), pp. 1-17

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A real options perspective on R&D portfolio diversification

Bekkum, Sjoerd van; Pennings, Enrico; Smit, Han T. J. - 2008

This paper shows that the presence of conditional staging in R&D (Research & Development) has a critical impact on portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option-like characteristics, correlation between projects plays a...

Persistent link: https://www.econbiz.de/10011373815

Numerical methods in finance

Rogers, Leonard C. G. (contributor); … - 2008 - Digitally print. version, paperb. re-issue

Persistent link: https://www.econbiz.de/10003650172

Monte Carlo methods and models in finance and insurance

Korn, Ralf; Korn, Elke; Kroisandt, Gerald - 2010

Persistent link: https://www.econbiz.de/10003895954

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