32 citations · 67 across the 29 of their papers we have counts for
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stat.CO2015★ 1 cited
Quasi-random numbers for copula models
Mathieu Cambou, Marius Hofert, Christiane Lemieux
The present work addresses the question how sampling algorithms for commonly applied copula models can be adapted to account for quasi-random numbers. Besides sampling methods such…
q-fin.RM2015★ 4 cited
Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm
Marius Hofert, Amir Memartoluie, David Saunders +1
Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and solutions as well as words of warning concerning their im…