Efficient Simulation Methods for Estimating Risk Measures
In this thesis, we analyze the computational problem of estimating financial risk in nested Monte Carlo simulation. An outer simulation is used to generate financial scenarios, and an inner simulation is used to estimate future portfolio values in each scenario. Mean squared error (MSE) for standard...
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| Language: | English |
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2011
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| Online Access: | https://doi.org/10.7916/D8J10FQ4 |