Economy – Quantitative Finance – Risk Management
Scientist
Economy
Quantitative Finance
Risk Management
Scientist
Efficient calculation of risk measures by importance sampling -- the heavy tailed case
Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
Functional large deviations for multivariate regularly varying random walks
Large deviations for point processes based on stationary sequences with heavy tails
On importance sampling with mixtures for random walks with heavy tails
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