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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
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Portfolio value-at-risk with heavy-tailed risk factors
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 12 (2002) 3, pp. 239-269
Persistent link: https://www.econbiz.de/10001686394
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Portfolio value-at-risk with heavy-tailed risk factors
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - 2000
Persistent link: https://www.econbiz.de/10001496087
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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
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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
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Variance Reduction Techniques for Estimating Value-at-Risk
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Management Science 46 (2000) 10, pp. 1349-1364
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 a...
Persistent link: https://www.econbiz.de/10009209365
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Importance Sampling in the Heath-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/10005965389
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Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 12 (2002) 3, pp. 239-270
Persistent link: https://www.econbiz.de/10008216216
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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/10008218616
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ARTICLES - Multilevel Splitting for Estimating Rare Event Probabilities
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Operations research : the journal of the Operations … 47 (1999) 4, pp. 585-600
Persistent link: https://www.econbiz.de/10006419536