Work

Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling

Year: 2009

Type: article

Source: Monte Carlo Methods and Applications

DOI: 10.1515/mcma.2009.011

Authors: O. Bardou, N. Frikha, G. Pagès

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2007181101

FWCI: 3.361

Cites: 16

Cited by: 72

Related to: 10