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Multilevel Nested Simulation for Efficient Risk Estimation
8 references·0 citing·26 second hop
Multilevel Nested Simulation for Efficient Risk Estimation (2019)Multilevel Nested Simulation for Efficien…Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (2014)Monte Carlo Methods for Value…Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (2014)Antithetic multilevel Monte C…Efficient Risk Estimation via Nested Sequential Simulation (2011)Efficient Risk Estimation via…Nested Simulation in Portfolio Risk Measurement (2010)Nested Simulation in Portfoli…Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling (2009)Computing VaR and CVaR using …Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Optimization of conditional value-at-risk (2000)Optimization of conditional v…A Stochastic Approximation Method (1951)A Stochastic Approximation Me…Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)Mean–CVaR portfolio selection: A nonparametric estimation framework (2012)Optimizing the CVaR via Sampling (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Monte Carlo Methods in Financial Engineering (2003)From Rough Path Estimates to Multilevel Monte Carlo (2016)Multilevel Richardson–Romberg extrapolation (2017)Modern Bayesian Experimental Design (2024)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012)The Risk Map: A new tool for validating risk models (2013)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Numerical solution of stochastic differential equations (2016)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Risk Estimation via Regression (2015)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Some aspects of the sequential design of experiments (1952)Stochastic Estimation of the Maximum of a Regression Function (1952)mirt : A Multidimensional Item Response Theory Package for the R Environment (2012)Robust Design of a Supersonic Natural Laminar Flow Wing-Body (2017)Risk and complexity in scenario optimization (2019)Surrogate modeling for efficiently, accurately and conservatively estimating measures of risk (2022)
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References

  • 1951A Stochastic Approximation Method9,630 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2008Multilevel Monte Carlo Path Simulation1,436 cited
  • 2010Nested Simulation in Portfolio Risk Measurement180 cited
  • 2014Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation109 cited
  • 2011Efficient Risk Estimation via Nested Sequential Simulation109 cited
  • 2014Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk91 cited
  • 2009Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling72 cited

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