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Perwez Shahabuddin
Information about the author Perwez Shahabuddin will soon be added to the site.
Found
6 papers
in total
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Fast Simulation of Multifactor Portfolio Credit Risk
2008
This paper develops rare–event simulation methods for the estimation of...
Variance reduction techniques for estimating value-at-risk
2000
This paper describes, analyzes and evaluates an algorithm for estimating portfolio...
Fast simulation of Markov chains with small transition probabilities
2001
Consider a finite-state Markov chain where the transition probabilities differ by...
Multilevel splitting for estimating rare event probabilities
1999
We analyze the performance of a splitting technique for the estimation of rare event...
Likelihood ratio derivative estimation for finite-time performance measures in generalized semi-Markov processes
1998
This paper investigates the likelihood ratio method for estimating derivatives of...
Importance sampling for the simulation of highly reliable Markovian systems
1994
The paper investigates importance sampling techniques for the simulation of Markovian...
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