DC Field | Value | Language |
---|---|---|
dc.contributor.author | Ahn, Dohyun | ko |
dc.contributor.author | Kim, Kyoung-Kuk | ko |
dc.date.accessioned | 2018-09-18T05:52:53Z | - |
dc.date.available | 2018-09-18T05:52:53Z | - |
dc.date.created | 2017-11-17 | - |
dc.date.created | 2017-11-17 | - |
dc.date.created | 2017-11-17 | - |
dc.date.issued | 2018-07 | - |
dc.identifier.citation | ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION, v.28, no.3 | - |
dc.identifier.issn | 1049-3301 | - |
dc.identifier.uri | http://hdl.handle.net/10203/245427 | - |
dc.description.abstract | We consider the problem of estimating expectations over the union of half-spaces. Such a problem arises in many applications such as option pricing and stochastic activity networks. More recent applications include systemic risk measurements of financial networks. Assuming that random variables follow a multivariate elliptical distribution, we develop a conditional Monte Carlo method and prove its asymptotic efficiencies. We then demonstrate the numerical performance of the proposed method in three different application areas. | - |
dc.language | English | - |
dc.publisher | ASSOC COMPUTING MACHINERY | - |
dc.subject | FINANCIAL NETWORKS | - |
dc.subject | SYSTEMIC RISK | - |
dc.subject | PROBABILITIES | - |
dc.title | Efficient simulation for expectations over the union of half-spaces | - |
dc.type | Article | - |
dc.identifier.wosid | 000444690000007 | - |
dc.identifier.scopusid | 2-s2.0-85053428319 | - |
dc.type.rims | ART | - |
dc.citation.volume | 28 | - |
dc.citation.issue | 3 | - |
dc.citation.publicationname | ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION | - |
dc.identifier.doi | 10.1145/3167969 | - |
dc.contributor.localauthor | Kim, Kyoung-Kuk | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Conditional Monte Carlo | - |
dc.subject.keywordAuthor | rare event simulation | - |
dc.subject.keywordAuthor | elliptical distribution | - |
dc.subject.keywordAuthor | variance reduction | - |
dc.subject.keywordPlus | FINANCIAL NETWORKS | - |
dc.subject.keywordPlus | SYSTEMIC RISK | - |
dc.subject.keywordPlus | PROBABILITIES | - |
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