5 citations · 5 across the 1 of their papers we have counts for
2 papers
q-fin.RM2022★ 5 cited
Sample Recycling for Nested Simulation with Application in Portfolio Risk Measurement
Kun Zhang, Ben Mingbin Feng, Guangwu Liu +1
Nested simulation is a natural approach to tackle nested estimation problems in operations research and financial engineering. The outer-level simulation generates outer scenarios…
math.PR2016
Conditional Monte Carlo: A Change-of-Variables Approach
Guiyun Feng, Guangwu Liu
Conditional Monte Carlo (CMC) has been widely used for sensitivity estimation with discontinuous integrands as a standard simulation technique. A major limitation of using CMC in t…