Halis Sak

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Optimization under supplier portfolio risk considering breach of contract and market risks Risk and Decision Analysis	2019-03-12	Paper
Variance reduction for Asian options under a general model framework Review of Finance	2018-11-09	Paper
Efficient simulations for a Bernoulli mixture model of portfolio credit risk Annals of Operations Research	2018-03-02	Paper
Efficient randomized quasi-Monte Carlo methods for portfolio market risk Insurance Mathematics & Economics	2017-09-19	Paper
Optimally stratified importance sampling for portfolio risk with multiple loss thresholds Optimization	2014-02-07	Paper
Fast simulations in credit risk Quantitative Finance	2014-01-30	Paper
\(t\)-Copula generation for control variates Mathematics and Computers in Simulation	2011-01-31	Paper
Better confidence intervals for importance sampling International Journal of Theoretical and Applied Finance	2011-01-20	Paper
Increasing the number of inner replications of multifactor portfolio credit risk simulation in the \(t\)-copula model Monte Carlo Methods and Applications	2011-01-13	Paper
Efficient numerical inversion for financial simulations Monte Carlo and Quasi-Monte Carlo Methods 2008	2010-02-15	Paper
Efficient risk simulations for linear asset portfolios in the \(t\)-copula model European Journal of Operational Research	2009-11-27	Paper

Research outcomes over time

This page was built for person: Halis Sak