Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling (Q3654434)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling |
scientific article |
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Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling (English)
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6 January 2010
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VaR
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CVaR
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stochastic approximation
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importance sampling
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Girsanov
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