Variance reduction for risk measures with importance sampling in nested simulation

DOI10.1080/14697688.2021.1985730MaRDI QIDQ5079359zbMATH OpenOpenAlexFDO

Authors Yue Xing, Tony Sit, Hoi Ying Wong

Publication date 27 May 2022

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2021.1985730

zbMATH Keywords

expected shortfallimportance samplingvariance reductionvalue-at-riskAmerican-style derivatives

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• A Note on Quantiles in Large Samples
• A stepwise regression method and consistent model selection for highdimensional sparse linear models
• An analysis of a least squares regression method for American option pricing
• Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
• Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data
• Monte Carlo algorithms for optimal stopping and statistical learning
• Monte Carlo valuation of American options
• Multilevel nested simulation for efficient risk estimation
• Nested simulation in portfolio risk measurement
• Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Pricing American Options: A Duality Approach
• Regression-based complexity reduction of the nested Monte Carlo methods
• Simulation-based Value-at-Risk for nonlinear portfolios
• Variance Reduction Techniques for Estimating Value-at-Risk
• Weak error for nested multilevel Monte Carlo

Cited in

(9)

• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
• Simulating risk measures via asymptotic expansions for relative errors
• A new variance reduction technique for estimating value-at-risk
• Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
• On variance reduction of mean-CVaR Monte Carlo estimators
• Large sample behavior of the CTE and VaR estimators under importance sampling
• Variance reduction techniques for nested simulation in measuring portfolio's risk
• The estimator of the variance of conditional expectation and the calculation of value at risk based on the two-level nested simulation
• Efficient nested simulation for conditional tail expectation of variable annuities

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