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 …

. Simulation methods have been developed to approximate a solution for these integrals. This paper describes the Standard Halton … sequence and a modification of it, the Shuffled Halton sequence. Both are simulation methods which can reduce computational … effort compared to a random sequence. We compare the simulation methods in their coverage of the multi-dimensional area and …

power has become a policy priority. To fill this knowledge gap, this paper introduces a simple simulation method, the …

regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …

conditional maximum likelihood methods are considered for the parameter estimation of the model. Moreover, simulation experiments …

efficient simulation scheme for the price process, allowing to price the arithmetic counterparts using control variate technique … performances of the proposed simulation scheme on some parameter sets calibrated on real data. …