A Hybrid Importance Sampling Algorithm for Estimating VaR under the Jump Diffusion Model.

Tian-Shyr Dai Li-min Liu

Published in: J. Softw. Eng. Appl. (2009)

Keyphrases

sampling algorithm
diffusion model
random sampling
anisotropic diffusion
information diffusion
diffusion process
markov chain monte carlo
markov chain
diffusion tensor
social networks
active learning
dynamic programming
sample size