activity
20142022
most citedExact and efficient simulation of tail probabilities of heavy-tailed infinite series

1 citations · 1 across the 3 of their papers we have counts for

collaborators
Showing q-fin.STShow all

1 paper · 1 filter

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…