Efficient importance sampling for events of moderate deviations with applications
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- Huei-Wen Teng & Cheng-Der Fuh & Chun-Chieh Chen, 2016. "On an automatic and optimal importance sampling approach with applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1259-1271, August.
- repec:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9654-z is not listed on IDEAS
- Cheng-Der Fuh & Inchi Hu & Ya-Hui Hsu & Ren-Her Wang, 2011. "Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors," Operations Research, INFORMS, vol. 59(6), pages 1395-1406, December.
- Cheng-Der Fuh & Chuan-Ju Wang, 2017. "Efficient Simulation for Portfolio Credit Risk in Normal Mixture Copula Models," Papers 1711.03744, arXiv.org, revised Jun 2018.
- Shih-Kuei Lin & Ren-Her Wang & Cheng-Der Fuh, 2006. "Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(3), pages 261-295, September.
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