Value-at-Risk and Expected Shortfall Estimation via Randomized Quasi-Monte Carlo Methods and Comparative Analysis
Randomized quasi-Monte Carlo methods have been shown to offer estimates with smaller variances compared with estimates obtained with Monte Carlo. This dissertation examines the application of randomized quasi-Monte Carlo methods in the context of value-at-risk and expected shortfall, two...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/2018_Fall_Franke_fsu_0071E_14840 |