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Importance Sampling

Flex

Joined
2/16/11
Messages
34
Points
16
Hi,

if anyone of you is familiar with the Importance sampling method Glasserman et al. uses in their paper for VaR estimation, I would appreciate if he or she could send me a pm.

I trying to solve my problem finding the right twisting parameter. I have tried different approaches the last 3 days, however, I was not able to solve the problem.

Thanks in advance!
 
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