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papers for simulation of rare events
any one familar with this topic? pls share your ideas.
papers for simulation of rare events
I have written the ultimate simulator of rare events program. It runs on a rock.I'm not sure what you mean. You simulate rare events by picking a low probability of occurence. The trouble with rare events is not simulating them, it's estimating their probability and measuring other characteristics.
papers for simulation of rare events
Check Paul Glasserman webpage. I think he has developped smthing which is related to the MC simulation of rare events... not sure.Try also insurance webpage, like at ETH Zürich. YOu'll probably find smthing theregood luck
papers for simulation of rare events
My bro J, you could do what I do.....I draw from the following distribution....pick a random post of someone like MikeBell. If I find a word that is mildly related to finance, I shock all market parameters by 80%. I have proposed this as a stress test to executive management, and they are pretty much ok with it.
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papers for simulation of rare events
Embrechts, Kluppelberg, and Mikosch "Modelling Extremal Events for Insurance and Finance".