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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/43819

Title: Fast Accurate Algorithms for Tail Conditional Expectation
Authors: Bryant Chen
William Wei-Yuan Hsu
Ming-Yang Kao
Contributors: 國立臺灣海洋大學:資訊工程學系
NTOU:Department of Computer Science and Engineering
Keywords: Value-at-Risk
Tail Conditional Expectation
Fractional Steps
Date: 2009-09
Issue Date: 2017-11-02T01:19:49Z
Publisher: American Institute of Physics Conference Series, ser. American Institute of Physics Conference Series, T. E. Simos, G. Psihoyios, & C. Tsitouras, Ed.
Abstract: Abstract:This paper proposes novel lattice algorithms to compute tail conditional expectation. To improve the naive approach, we develop tilting, trinomial, and extrapolation algorithms together with some syntheses of these algorithms. Furthermore, we introduce fractional‐step lattices to prevent interpolation error in the extrapolation algorithms. A key finding is that combining the techniques of tilting lattice, extrapolation and fractional steps substantially increases speed and accuracy. We demostrate the efficiency and accuracy of these algorithms with numerical results.
Relation: 1168, pp.501–504
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/43819
Appears in Collections:[資訊工程學系] 演講及研討會

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