Fast Risk Estimation through Fourier Transform Based Multilevel Monte Carlo Simulation

被引：0
|
作者：
Wan, Jia-Chen [1 ]
机构：
[1] School of Mathematics, South China University of Technology, Guangzhou,510640, China
来源：
IAENG International Journal of Applied Mathematics | 2024年 / 54卷 / 04期
关键词：
Compendex;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Fourier transforms - Intelligent systems - Numerical methods - Risk perception
引用
收藏
页码：730 / 741
相关论文
共 50 条
  • [1] Reclaiming quasi-Monte Carlo efficiency in portfolio value-at-risk simulation through Fourier transform
    Jin, Xing
    Zhang, Allen X.
    MANAGEMENT SCIENCE, 2006, 52 (06) : 925 - 938
  • [2] Efficient risk estimation via nested multilevel quasi-Monte Carlo simulation
    Xu, Zhenghang
    He, Zhijian
    Wang, Xiaoqun
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2024, 443
  • [3] Multilevel Monte Carlo path simulation
    Giles, Michael B.
    OPERATIONS RESEARCH, 2008, 56 (03) : 607 - 617
  • [4] MONTE-CARLO SIMULATION USING THE FOURIER-TRANSFORM OF THE INTERATOMIC POTENTIAL
    PLISCHKE, M
    ABRAHAM, FF
    JOURNAL OF STATISTICAL PHYSICS, 1988, 52 (5-6) : 1353 - 1358
  • [5] Adaptive Multilevel Monte Carlo Simulation
    Hoel, Hakon
    von Schwerin, Erik
    Szepessy, Anders
    Tempone, Raul
    NUMERICAL ANALYSIS OF MULTISCALE COMPUTATIONS, 2012, 82 : 217 - +
  • [6] Value at Risk estimation using a Monte Carlo simulation
    Gogola, Jan
    EUROPEAN FINANCIAL SYSTEMS 2013: PROCEEDINGS OF THE 10TH INTERNATIONAL SCIENTIFIC CONFERENCE, 2013, : 107 - 113
  • [7] SIMULATION WITH FAST FOURIER TRANSFORM
    TILLOTSON, TC
    BRIGHAM, EO
    INSTRUMENTS & CONTROL SYSTEMS, 1969, 42 (09): : 169 - +
  • [8] Monte Carlo simulation in Fourier space
    Troester, Andreas
    COMPUTER PHYSICS COMMUNICATIONS, 2008, 179 (1-3) : 30 - 33
  • [9] Unavailability estimation of shutdown system of a fast reactor by Monte Carlo simulation
    Ramakrishnan, M.
    ANNALS OF NUCLEAR ENERGY, 2016, 90 : 264 - 274
  • [10] Period value at risk and its estimation by Monte Carlo simulation
    Huo, Yanli
    Xu, Chunhui
    Shiina, Takayuki
    APPLIED ECONOMICS LETTERS, 2022, 29 (18) : 1675 - 1679
12345