Name
Abstract | ||
|---|---|---|
We apply a generalized likelihood ratio (GLR) derivative estimation method in previous works to estimate quantile sensitivity of financial models with correlations and jumps. Examples illustrate the wide applicability of the GLR method by providing several practical settings where other techniques are difficult to apply, and numerical results demonstrate the effectiveness of the new estimator. |
Year | DOI | Venue |
|---|---|---|
2019 | 10.1109/WSC40007.2019.9004858 | 2019 Winter Simulation Conference (WSC) |
Keywords | Field | DocType |
quantile sensitivity,financial models,generalized likelihood ratio derivative estimation method,GLR method,correlations,jumps | Financial modeling,Econometrics,Computer science,Simulation,Quantile,Generalized likelihood ratio,Derivative estimation,Estimator | Conference |
ISSN | ISBN | Citations |
0891-7736 | 978-1-7281-2052-2 | 0 |
PageRank | References | Authors |
0.34 | 18 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Yijie Peng | 1 | 32 | 12.59 |
| Michael C. Fu | 2 | 1161 | 128.16 |
| Jian-Qiang Hu | 3 | 0 | 0.34 |
| Lei Lei | 4 | 0 | 0.34 |