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Monte Carlo
Document Title Author Issue Date
Market Value-at-Risk: ROM Simulation, Cornish-Fi.. [Hurlimann, Werner] 5-26-2014
Two-Stage Importance Sampling With Mixture Propo.. [Li, Wentao][Tan, Zhiqiang][Chen, Rong] 3-5-2014
Optimal Exponentially Tilted Importance Sampling.. [Fuh, Cheng-Der][Teng, Huei-Wen][Wang, Ren-Her] 12-27-2013
Efficient Calculation of Risk Measures by Import.. [Hult, Henrik][Svensson, Jens] 12-25-2013
A New Variance Reduction Technique for Estimatin.. [Korn, Ralf][Pupashenko, Mykhailo] 11-25-2013
Features of the Value-at-risk Methodology for Ev.. [Danchuk, M.][Danchuk, V.D.][Kravchuk, A.P.] 8-30-2013
Importance Sampling for Monte Carlo Estimation o.. [Glynn, Peter W.] 6-29-2013
Bank’s Trading Book and Value-at-Risk [Lal, Manohar] 5-6-2013
Uniformly Efficient Importance Sampling for the .. [Glasserman, Paul][Juneja, Sandeep] 10-3-2012
Introduction to Monte Carlo Methods and Value at.. [Langmore, Ian] 7-7-2012
Assessing the Accuracy of Risk Models in the Mal.. [Baharul-Ulum, Zatul K. A.][bin Ahmad, Ismail][binti Salamudin, Norhana] 6-17-2012
Quantile Mechanics II: Changes of Variables in M.. [Shaw, William T.][Brickman, Nick][Luu, Thomas] 1-16-2012
Two-Level Simulations for Risk Management [Lan, Hai][Nelson, Barry L.][Staum, Jeremy] 1-8-2012
Monte Carlo by Day [Frye, Jon] 1-8-2012
A System to Calculate Market Value-at-Risk using.. [Rezek, George][Huang, Charlie] 6-30-2011
A System to Calculate Market Value-at-Risk using.. [Rezek, George] 6-30-2011
A System to Calculate Market Value-at-Risk using.. [Rezek, George] 6-30-2011
Asymptotic Distribution of the Sample Average Va.. [Stoyanov, Stoyan][Rachev, Svetlozar] 6-2-2011
Rare-Event Probability Estimation with Condition.. [Chan, Joshua C.C.][Kroese, Dirk P.] 4-1-2011
Design of a Financial Application Driven Multiva.. [Constantinides, George][Saiprasert, Chalermpol][Bouganis, C_hristos-Savvas] 3-31-2011
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