Conditional Monte Carlo Estimation of Quantile Sensitivities

References

• Bassamboo A., Juneja S., Zeevi A. Portfolio credit risk with extremal dependence: Asymptotic analysis and efficient simulation. Oper. Res. (2008) 56:593–606Link, Google Scholar
• Bhat B. R.Modern Probability Theory: An Introductory Textbook (1985) (Wiley, New York) Google Scholar
• David H. A., Nagaraja H. N.Order Statistics (2003) 3rd ed.(Wiley, Hoboken, NJ) Crossref, Google Scholar
• Durrett R.Probability: Theory and Examples (1995) 2nd ed.(Duxbury, Belmont, CA) Google Scholar
• Fu M. C., Henderson S. G., Nelson B. L. Gradient estimation. Handbooks in Operations Research and Management Science: Simulation (2006) (Elsevier, Amsterdam) 575–616Chap. 19Google Scholar
• Fu M. C. What you should know about simulation and derivatives. Naval Res. Logist. (2008) 55:723–736Crossref, Google Scholar
• Fu M. C., Hu J.-Q.Conditional Monte Carlo: Gradient Estimation and Optimization Applications (1997) (Kluwer, Norwell, MA) Crossref, Google Scholar
• Glasserman P.Gradient Estimation Via Perturbation Analysis (1991) (Kluwer, Norwell, MA) Google Scholar
• Glasserman P.Monte Carlo Methods in Financial Engineering (2004) (Springer, New York) Crossref, Google Scholar
• Ho Y. C., Cao X. R.Perturbation Analysis and Discrete Event Dynamic Systems (1991) (Kluwer, Boston) Crossref, Google Scholar
• Hong L. J. Estimating quantile sensitivities. Oper. Res. (2009) 57:118–130Link, Google Scholar
• Hong L. J., Liu G. Simulating sensitivities of conditional value-at-risk. Management Sci. (2009) 55:281–293Link, Google Scholar
• Lehmann E. L.Elements of Large-Sample Theory (1999) (Springer, New York) Crossref, Google Scholar
• Li D. On default correlation: A copula function approach. J. Fixed Income (2000) 9:43–54Crossref, Google Scholar
• Liu G., Hong L. J. Kernel estimation of quantile sensitivities. Naval Res. Logist. (2009) 56:511–525Crossref, Google Scholar
• Mashal R., Zeevi A. Beyond correlation: Extreme co-movements between financial assets. (2003) . Working paper, Columbia University, New YorkGoogle Scholar
• Rudin W.Real and Complex Analysis (1987) 3rd ed.(McGraw-Hill, Singapore) Google Scholar
• Serfling R. J.Approximation Theorems of Mathematical Statistics (1980) (Wiley, New York) Crossref, Google Scholar