Publisher
Springer Science and Business Media LLC
Subject
Computational Theory and Mathematics,Computer Networks and Communications,Statistical and Nonlinear Physics,Computer Science (miscellaneous)
Reference54 articles.
1. Glasserman, P., Heidelberger, P. & Shahabuddin, P. Efficient Monte Carlo Methods for Value-at-Risk. In Mastering Risk 2, 5–18 (2000).
2. Basel Committee on Banking Supervision. Revisions to the basel ii market risk framework (2009).
https://www.bis.org/publ/bcbs148.pdf
.
3. Joy, C., Boyle, P. P. & Tan, K. S. Quasi-monte carlo methods in numerical finance. Manag. Sci. 42, 926–938 (1996).
4. Glasserman, P. Monte Carlo Methods in Financial Engineering. (Springer-Verlag, New York, 2003).
5. Glasserman, P. & Li, J. Importance sampling for portfolio credit risk. Manag. Sci. 51, 11 (2005).
Cited by
134 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献