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A new variance reduction technique for estimating value-at-risk

Korn, Ralf; Pupashenko, Mykhailo - In: Applied mathematical finance 22 (2015) 1/2, pp. 83-98

Persistent link: https://www.econbiz.de/10010505164

Importance sampling for option Greeks with discontinuous payoffs

Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235

Persistent link: https://www.econbiz.de/10011489268

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

Persistent link: https://www.econbiz.de/10013367849

Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors

Teng, Huei-Wen - In: Computational economics 62 (2023) 3, pp. 1125-1154

Persistent link: https://www.econbiz.de/10014382887

Latin hypercube sampling with dependence and applications in finance

Packham, Natalie; Schmidt, Wolfgang M. - 2008

In Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction … technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD …

Persistent link: https://www.econbiz.de/10011293923

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