L. Jeff Hong's Research Group
L. Jeff Hong's Research Group
Research
Publications
People
Group Activities
Contact
Light
Dark
Automatic
Monte Carlo methods in Financial Engineering
Kernel estimation of the Greeks of financial options
Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities
Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Pathwise estimation of probability sensitivities through terminating and steady-state simulations
Conditional Monte Carlo estimation of quantile sensitivities
Estimating expectations of nonlinear functions
Estimating quantile sensitivities
Kernel estimation of quantile sensitivities
Revisit of stochastic mesh method for pricing American options
Simulating sensitivities of conditional value-at-risk
«
»
Cite
×