BETTER CONFIDENCE INTERVALS FOR IMPORTANCE SAMPLING
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Publication:3067164
DOI10.1142/S0219024910006200zbMath1203.91317MaRDI QIDQ3067164
Wolfgang Hörmann, Halis Sak, Josef Leydold
Publication date: 20 January 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024910006200
confidence intervals; importance sampling; quantitative risk management; Hall's transformation; skewness removal
Uses Software
Cites Work
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- Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
- Importance Sampling for Portfolio Credit Risk
- A Confidence Interval and Test for the Mean of an Asymmetric Distribution
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Nonparametric confidence intervals for the one- and two-sample problems