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Perwez Shahabuddin · Study
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Author
Perwez Shahabuddin
20 works
· latest 2008
· 4 institutions
cluster: provisional
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20
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20
Citations
2,098
Works here
20
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Most cited in this library
Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors
2002 · 284 citations
Multilevel Splitting for Estimating Rare Event Probabilities
1999 · 252 citations
Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options
1999 · 219 citations
Variance Reduction Techniques for Estimating Value-at-Risk
2000 · 217 citations
Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances
2006 · 180 citations
Works
20 shown
Fast Simulation of Multifactor Portfolio Credit Risk
Operations Research
·
2008
·
3 authors
74
citations
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
Mathematical Finance
·
2007
·
3 authors
·
Open access
70
citations
Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances
Handbooks in operations research and management science
·
2006
·
2 authors
·
chapter
180
citations
FAST SIMULATION FOR MULTIFACTOR PORTFOLIO CREDIT RISK IN THE t-COPULA MODEL
·
2005
·
2 authors
31
citations
Fast simulation of steady-state availability in non-Markovian highly dependable systems
IEEE International Symposium on Fault-Tolerant Computing
·
2002
·
4 authors
·
other
41
citations
Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors
Mathematical Finance
·
2002
·
3 authors
284
citations
Simulating heavy tailed processes using delayed hazard rate twisting
ACM Transactions on Modeling and Computer Simulation
·
2002
·
2 authors
98
citations
Fast Simulation of Markov Chains with Small Transition Probabilities
Management Science
·
2001
·
2 authors
46
citations
Techniques for fast simulation of models of highly dependable systems
IEEE Transactions on Reliability
·
2001
·
3 authors
·
Open access
83
citations
Efficient Monte Carlo methods for value-at-risk
·
2001
·
3 authors
45
citations
Variance Reduction Techniques for Estimating Value-at-Risk
Management Science
·
2000
·
3 authors
217
citations
Importance Sampling in the Heath-Jarrow-Morton Framework
The Journal of Derivatives
·
1999
·
3 authors
31
citations
Multilevel Splitting for Estimating Rare Event Probabilities
Operations Research
·
1999
·
4 authors
252
citations
Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options
Mathematical Finance
·
1999
·
3 authors
219
citations
A large deviations perspective on the efficiency of multilevel splitting
IEEE Transactions on Automatic Control
·
1998
·
4 authors
75
citations
Splitting for rare event simulation
Winter Simulation Conference
·
1996
·
4 authors
·
other
·
Open access
77
citations
Fast simulation of packet loss rates in a shared buffer communications switch
ACM Transactions on Modeling and Computer Simulation
·
1995
·
3 authors
·
Open access
33
citations
Effective bandwidth and fast simulation of ATM intree networks
Performance Evaluation
·
1994
·
4 authors
139
citations
Bounded relative error in estimating transient measures of highly dependable non-Markovian systems
ACM Transactions on Modeling and Computer Simulation
·
1994
·
3 authors
55
citations
Measure specific dynamic importance sampling for availability simulations
Winter Simulation Conference
·
1987
·
3 authors
·
other
48
citations