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~subject:"Sensitivity analysis"
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Sensitivity analysis
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Fu, Michael
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On estimating quantile sensitivities via infinitesimal perturbation analysis
Jiang, Guangxin
;
Fu, Michael
- In:
Operations research
63
(
2015
)
2
,
pp. 435-441
Persistent link: https://www.econbiz.de/10010526698
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2
Computing sensitivities for distortion risk measures
Glynn, Peter W.
;
Peng, Yijie
;
Fu, Michael
;
Hu, Jian-Qiang
- In:
INFORMS journal on computing : JOC
33
(
2021
)
4
,
pp. 1520-1532
Persistent link: https://www.econbiz.de/10012796944
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3
Maximum likelihood estimation by Monte Carlo simulation : toward data-driven stochastic modeling
Peng, Yijie
;
Fu, Michael
;
Heidergott, Bernd
;
Lam, Henry
- In:
Operations research
68
(
2020
)
6
,
pp. 1896-1912
Persistent link: https://www.econbiz.de/10012392175
Saved in:
4
Copula sensitivity analysis for portfolio credit derivatives
Lei, Lei
;
Peng, Yijie
;
Fu, Michael
;
Hu, Jian-Qiang
- In:
European journal of operational research : EJOR
308
(
2023
)
1
,
pp. 455-466
Persistent link: https://www.econbiz.de/10014283065
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