L. Jeff Hong's Research Group
L. Jeff Hong's Research Group
Research
Publications
People
Group Activities
Contact
Light
Dark
Automatic
Monte Carlo methods for value-at-risk and conditional value-at-risk: A review
Hong, L. J. Z. Hu, and G. Liu
January 2014
PDF
Project
Project
Type
Journal article
Publication
ACM Transactions on Modeling and Computer Simulation, 24:22/1-22/37
Monte Carlo Methods in Stochastic Programming
Monte Carlo methods in Financial Engineering
Related
Conditional value-at-risk approximation to value-at-risk constrained programs: A remedy via Monte Carlo
Meaningful sensitivities: A new family of simulation sensitivity measures
Robust simulation with likelihood-ratio constrained input uncertainty
Learning-based robust optimization procedures and statistical guarantee
Option Pricing By Neural Stochastic Differential Equations: A Simulation-optimization Approach
Cite
×