منابع مشابه
Double Kernel estimation of sensitivities
This paper adresses the general issue of estimating the sensitivity of the expectation of a random variable with respect to a parameter characterizing its evolution. In finance for example, the sensitivities of the price of a contingent claim are called the Greeks. A new way of estimating the Greeks has been recently introduced by Elie, Fermanian and Touzi [6] through a randomization of the par...
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Quantiles, also known as value-at-risks in the financial industry, are important measures of random performances. Quantile sensitivities provide information on how changes in input parameters affect output quantiles. They are very useful in risk management. In this article, we study the estimation of quantile sensitivities using stochastic simulation. We propose a kernel estimator and prove tha...
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Let fnh be the Parzen-Rosenblatt kernel estimate of a density f on the real line, based upon a sample of n i.i.d. random variables drawn from f , and with smoothing factor h. Let gnh be another kernel estimate based upon the same data, but with a different kernel. We choose the smoothing factor H so as to minimize ∫ |fnh− gnh|, and study the properties of fnH and gnH . It is shown that the esti...
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E quantile sensitivities is important in many optimization applications, from hedging in financial engineering to service-level constraints in inventory control to more general chance constraints in stochastic programming. Recently, Hong (Hong, L. J. 2009. Estimating quantile sensitivities. Oper. Res. 57 118–130) derived a batched infinitesimal perturbation analysis estimator for quantile sensi...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2009
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1253279852