11 citations · 49 across the 26 of their papers we have counts for
3 papers · 1 filter
State-independent Importance Sampling for Random Walks with Regularly Varying Increments
Karthyek R. A. Murthy, Sandeep Juneja, Jose Blanchet
We develop importance sampling based efficient simulation techniques for three commonly encountered rare event probabilities associated with random walks having i.i.d. regularly va…
Incorporating fat tails in financial models using entropic divergence measures
Santanu Dey, Sandeep Juneja
In the existing financial literature, entropy based ideas have been proposed in portfolio optimization, in model calibration for options pricing as well as in ascertaining a pricin…
Efficient simulation of density and probability of large deviations of sum of random vectors using saddle point representations
Santanu Dey, Sandeep Juneja, Ankush Agarwal
We consider the problem of efficient simulation estimation of the density function at the tails, and the probability of large deviations for a sum of independent, identically distr…