Cover Image

A General Framework for Importance Sampling with Markov Random Walks

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Fuh, Cheng-Der, Jia, Yanwei, Kou, Steven
Format:	Preprint
Published:	2023
Subjects:	Computation Computational Finance Risk Management
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

An Asymptotic CVaR Measure of Risk for Markov Chains
by: Patel, Shivam, et al.
Published: (2024)

Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading
by: Deep, Akash, et al.
Published: (2024)

Informative Risk Measures in the Banking Industry: A Proposal based on the Magnitude-Propensity Approach
by: Bonollo, Michele, et al.
Published: (2025)

Implied Probabilities and Volatility in Credit Risk: A Merton-Based Approach with Binomial Trees
by: Gnawali, Jagdish, et al.
Published: (2025)

The FRTB-IMA computational challenge for Equity Autocallables
by: Zeron, Mariano, et al.
Published: (2023)

Data-driven Approach for Static Hedging of Exchange Traded Options
by: Dhandapani, Vikranth Lokeshwar, et al.
Published: (2023)

Numerical methods for lambda quantiles: robust evaluation and portfolio optimisation
by: Peri, Ilaria, et al.
Published: (2026)

Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk
by: Rigana, Katerina, et al.
Published: (2024)

Is the difference between deep hedging and delta hedging a statistical arbitrage?
by: François, Pascal, et al.
Published: (2024)

Tracing Positional Bias in Financial Decision-Making: Mechanistic Insights from Qwen2.5
by: Dimino, Fabrizio, et al.
Published: (2025)

Multimodal Insights into Credit Risk Modelling: Integrating Climate and Text Data for Default Prediction
by: Wu, Zongxiao, et al.
Published: (2026)

Autonomous Money Supply Strategy Utilizing Control Theory
by: Boneh, Yuval
Published: (2024)

Environmental CVA with K-Robust Wrong-Way Risk
by: Sakuma, Takayuki
Published: (2026)

On Deep Learning for computing the Dynamic Initial Margin and Margin Value Adjustment
by: Villarino, Joel P., et al.
Published: (2024)

Unleashing the power of text for credit default prediction: Comparing human-written and generative AI-refined texts
by: Wu, Zongxiao, et al.
Published: (2025)

Adaptive Money Market Interest Rate Strategy Utilizing Control Theory
by: Boneh, Yuval
Published: (2024)

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
by: Grzelak, Lech A.
Published: (2022)

DeFi Liquidation Risk Modeling Using Geometric Brownian Motion
by: Belenko, Timofei, et al.
Published: (2025)

Workplace sustainability or financial resilience? Composite-financial resilience index
by: Daadmehr, Elham
Published: (2024)

Vote Delegation in DeFi Governance
by: Bongaerts, Dion, et al.
Published: (2025)

Using quantile time series and historical simulation to forecast financial risk multiple steps ahead
by: Gerlach, Richard, et al.
Published: (2025)

Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments
by: van der Zwaard, T., et al.
Published: (2022)

Potential Customer Lifetime Value in Financial Institutions: The Usage Of Open Banking Data to Improve CLV Estimation
by: de Brito, João B. G., et al.
Published: (2025)

Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement
by: Dhandapani, Vikranth Lokeshwar, et al.
Published: (2024)

Governance, Risk, and Regulation: A Framework for Improving Efficiency in Kenyan Pension Funds
by: Namagwa, Sylvester Willys
Published: (2025)

Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling
by: Buehler, Hans, et al.
Published: (2025)

Climate Risk Stress Testing in California: A Geospatial Framework for Banking and Climate-Exposed Sectors
by: Panda, Satya Narayana, et al.
Published: (2026)

Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review
by: Ericson, Lars, et al.
Published: (2024)

Forecasting Credit Ratings: A Case Study where Traditional Methods Outperform Generative LLMs
by: Drinkall, Felix, et al.
Published: (2024)

Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity
by: Deng, Qi, et al.
Published: (2023)

The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims
by: Bénézet, Cyril, et al.
Published: (2023)

Differential Quantile-Based Sensitivity in Discontinuous Models
by: Pesenti, Silvana M., et al.
Published: (2023)

Modeling Bank Systemic Risk of Emerging Markets under Geopolitical Shocks: Empirical Evidence from BRICS Countries
by: Wang, Haibo
Published: (2025)

Dynamic Risk in the U.S. Banking System: An Analysis of Sentiment, Policy Shocks, and Spillover Effects
by: Wang, Haibo, et al.
Published: (2026)

Institutional Backing and Crypto Volatility: A Hybrid Framework for DeFi Stabilization
by: Sovbetov, Ihlas
Published: (2025)

How to choose my stochastic volatility parameters? A review
by: Floc'h, Fabien Le
Published: (2025)

Enhancing Efficiency of Pension Schemes through Effective Risk Governance: A Kenyan Perspective
by: Namagwa, Sylvester Willys
Published: (2025)

A Novel approach to portfolio construction
by: Di Matteo, T., et al.
Published: (2026)

Identifying Risk Variables From Raw ESG Data Using Its Hierarchical Structure
by: Chen, Zhi, et al.
Published: (2025)

The Innovation Tax: Generative AI Adoption, Productivity Paradox, and Systemic Risk in the U.S. Banking Sector
by: Kikuchi, Tatsuru
Published: (2026)