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Latest revision as of 08:06, 17 July 2024

scientific article; zbMATH DE number 6976814
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On an automatic and optimal importance sampling approach with applications in finance
scientific article; zbMATH DE number 6976814

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    On an automatic and optimal importance sampling approach with applications in finance (English)
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    13 November 2018
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    importance sampling
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    exponential tilting
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    conjugate measures
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    Newton's method
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    exotic options
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    basket default swaps
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    Gaussian copula
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