1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2016★ 1 cited
Exact and efficient simulation of tail probabilities of heavy-tailed infinite series
Henrik Hult, Sandeep Juneja, Karthyek Murthy
We develop an efficient simulation algorithm for computing the tail probabilities of the infinite series when random variables are heavy-tailed.…
q-fin.ST2014
Incorporating Views on Marginal Distributions in the Calibration of Risk Models
Santanu Dey, Sandeep Juneja, Karthyek R. A. Murthy
Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in th…