On an automatic and optimal importance sampling approach with applications in finance (Q4554214): Difference between revisions

@@ Property / cites work @@
+Stochastic simulation: Algorithms and analysis
@@ Property / cites work: Stochastic simulation: Algorithms and analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo methods for security pricing
@@ Property / cites work: Monte Carlo methods for security pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Introduction to rare event simulation.
@@ Property / cites work: Introduction to rare event simulation. / rank @@
+Normal rank
@@ Property / cites work @@
+Least-squares Importance Sampling for Monte Carlo security pricing
+Normal rank
@@ Property / cites work @@
+Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
+Normal rank
@@ Property / cites work @@
+Fast Pricing of Basket Default Swaps
@@ Property / cites work: Fast Pricing of Basket Default Swaps / rank @@
+Normal rank
@@ Property / cites work @@
+Q3681702
@@ Property / cites work: Q3681702 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient importance sampling for events of moderate deviations with applications
+Normal rank
@@ Property / cites work @@
+Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors
+Normal rank
@@ Property / cites work @@
+Local Adaptive Importance Sampling for Multivariate Densities With Strong Nonlinear Relationships
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
+Normal rank
@@ Property / cites work @@
+Counterexamples in importance sampling for large deviations probabilities
+Normal rank
@@ Property / cites work @@
+Optimal importance sampling with explicit formulas in continuous time
+Normal rank
@@ Property / cites work @@
+Rapid and accurate development of prices and Greeks for<i>n</i>th to default credit swaps in the Li model
+Normal rank
@@ Property / cites work @@
+On moderate deviation theory in estimation
@@ Property / cites work: On moderate deviation theory in estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Non-parametric partial importance sampling for financial derivative pricing
+Normal rank
@@ Property / cites work @@
+Q3408861
@@ Property / cites work: Q3408861 / rank @@
+Normal rank
@@ Property / cites work @@
+Importance sampling in the Monte Carlo study of sequential tests
+Normal rank
@@ Property / cites work @@
+Nonparametric Importance Sampling
@@ Property / cites work: Nonparametric Importance Sampling / rank @@
+Normal rank