SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances
16 references·14 citing·32 second hop
Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Chapter 11 Rare-Event Simulation Techniqu…Proceedings of the 2006 Winter Simulation Conference (2006)Proceedings of the 2006 Winte…Importance Sampling for Portfolio Credit Risk (2005)Importance Sampling for Portf…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Applied Probability and Queues (2003)Applied Probability and QueuesProceedings of the 2002 Winter Simulation Conference (2002)Proceedings of the 2002 Winte…Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors (2002)Portfolio Value‐at‐Risk with …Discrete-Event Simulation : Modeling, Programming, and Analysis (2001)Discrete-Event Simulation : M…Stochastic Approximation Algorithms and Applications (1998)Stochastic Approximation Algo…PROCEEDINGS OF THE 1997 WINTER SIMULATION CONFERENCE (1997)PROCEEDINGS OF THE 1997 WINTE…Optimization of computer simulation models with rare events (1997)Optimization of computer simu…Fast simulation of rare events in queueing and reliability models (1995)Fast simulation of rare event…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Importance Sampling for Stochastic Simulations (1989)Importance Sampling for Stoch…Applied Probability and Queues (1987)Applied Probability and QueuesON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Extreme Event Quantification in Dynamical Systems with Random Components (2019)Extreme Event Quantification …Uncertainty Quantification of Stochastic Simulation for Black-box Computer Experiments (2017)Uncertainty Quantification of…Rare-Event Simulation for Many-Server Queues (2014)Rare-Event Simulation for Man…A survey of rare event simulation methods for static input–output models (2014)A survey of rare event simula…State-dependent importance sampling for rare-event simulation: An overview and recent advances (2011)State-dependent importance sa…Asymptotic robustness of estimators in rare-event simulation (2010)Asymptotic robustness of esti…Rare event simulation for a slotted time M/G/s model (2009)Rare event simulation for a s…Importance sampling for Jackson networks (2009)Importance sampling for Jacks…Efficient simulation of tail probabilities of sums of correlated lognormals (2009)Efficient simulation of tail …State-dependent importance sampling for regularly varying random walks (2008)State-dependent importance sa…Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation (2008)Portfolio Credit Risk with Ex…Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)Efficient rare-event simulati…Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue (2007)Fluid heuristics, Lyapunov bo…Modelling of stochastic hybrid systems with applications to accident risk assessment (2006)Modelling of stochastic hybri…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)A quick simulation method for excessive backlogs in networks of queues (1989)Acceleration of Stochastic Approximation by Averaging (1992)Simulation optimization: A comprehensive review on theory and applications (2004)Proceedings of the 2017 Winter Simulation Conference (2017)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Stability, queue length, and delay of deterministic and stochastic queueing networks (1994)Rare Event Simulation using Monte Carlo Methods (2009)Introduction to Stochastic Processes (2014)The cost of capital, corporation finance and the theory of investment (2008)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Likelihood ratio gradient estimation for stochastic systems (1990)Simulation-based optimization of Markov reward processes (2001)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)Martingale Methods in Financial Modelling (1997)An Overview of the Simultaneous Perturbation Method for Efficient Optimization (1998)Adaptive stochastic approximation by the simultaneous perturbation method (2000)An Introduction to Numerical Transform Inversion and Its Application to Probability Models (2000)M/G/1 queue with multiple working vacations (2005)A Stochastic Model for Order Book Dynamics (2010)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1987Applied Probability and Queues2,704 cited
  • 2003Applied Probability and Queues1,453 cited
  • 1998Stochastic Approximation Algorithms and Applications994 cited
  • 1997Optimization of computer simulation models with rare events682 cited
  • 1989Importance Sampling for Stochastic Simulations635 cited
  • 1995Fast simulation of rare events in queueing and reliability models546 cited
  • 1997PROCEEDINGS OF THE 1997 WINTER SIMULATION CONFERENCE508 cited
  • 2002Proceedings of the 2002 Winter Simulation Conference456 cited
  • 2006Proceedings of the 2006 Winter Simulation Conference399 cited
  • 2001Discrete-Event Simulation : Modeling, Programming, and Analysis326 cited
  • 2005Importance Sampling for Portfolio Credit Risk322 cited
  • 2002Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

284 cited

Cited by

  • 2008Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation105 cited
  • 2008Efficient rare-event simulation for the maximum of heavy-tailed random walks103 cited
  • 2010Asymptotic robustness of estimators in rare-event simulation100 cited
  • 2014A survey of rare event simulation methods for static input–output models70 cited
  • 2011State-dependent importance sampling for rare-event simulation: An overview and recent advances64 cited
  • 2008State-dependent importance sampling for regularly varying random walks63 cited
  • 2009Efficient simulation of tail probabilities of sums of correlated lognormals52 cited
  • 2009Importance sampling for Jackson networks51 cited
  • 2007Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue37 cited
  • 2019Extreme Event Quantification in Dynamical Systems with Random Components30 cited
  • 2009Rare event simulation for a slotted time M/G/s model20 cited
  • 2014Rare-Event Simulation for Many-Server Queues18 cited
  • 2017Uncertainty Quantification of Stochastic Simulation for Black-box Computer Experiments17 cited
  • 2006Modelling of stochastic hybrid systems with applications to accident risk assessment16 cited