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Guangwu Liu · Study
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Author
Guangwu Liu
5 works
· latest 2017
· 2 institutions
cluster: provisional
ORCID 0000-0002-5602-0540
Works
5 shown
Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement
Operations Research
·
2017
·
3 authors
·
Open access
56
citations
Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
ACM Transactions on Modeling and Computer Simulation
·
2014
·
3 authors
91
citations
Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
Operations Research
·
2010
·
2 authors
59
citations
Kernel estimation of quantile sensitivities
Naval Research Logistics (NRL)
·
2009
·
2 authors
47
citations
Simulating Sensitivities of Conditional Value at Risk
Management Science
·
2008
·
2 authors
143
citations