"Computing VaR and CVaR using stochastic approximation and adaptive ..."

Olivier Bardou, Noufel Frikha, Gilles Pagès (2009)

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DOI: 10.1515/MCMA.2009.011

access: closed

type: Journal Article

metadata version: 2022-04-09

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Olivier Bardou, Noufel Frikha, Gilles Pagès:
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Monte Carlo Methods Appl. 15(3): 173-210 (2009)

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