| Presentation | 2005-09-16 Estimation of Tail Distribution of Stochastic Models including Jump Diffusion Processes by using the Importance Sampling and its Applications Kangrong TAN, Yoshinori KISHIKAWA, Shozo TOKINAGA, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | This report deals with the estimation of tail distribution of stochastic models including jump diffusion processes by using the Importance Sampling and its applications. In the Monte Carlo simulation which is one of the effective methods to estimate tail distribution, we apply the Importance Sampling to to utilize rare events to improve the result. Even more, we introduce certain jump diffusion processes to model to cope with abrupt changes. The estimation method is applied to the VaR evaluation of financial investment. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Tail distribution estimation / Importance Sampling / Jump diffusion process / VaR evaluation |
| Paper # | CAS2005-47,NLP2005-60 |
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| Conference Information | |
| Committee | NLP |
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| Conference Date | 2005/9/9(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Nonlinear Problems (NLP) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Estimation of Tail Distribution of Stochastic Models including Jump Diffusion Processes by using the Importance Sampling and its Applications |
| Sub Title (in English) | |
| Keyword(1) | Tail distribution estimation |
| Keyword(2) | Importance Sampling |
| Keyword(3) | Jump diffusion process |
| Keyword(4) | VaR evaluation |
| 1st Author's Name | Kangrong TAN |
| 1st Author's Affiliation | Faculty of Economics, Kurume University() |
| 2nd Author's Name | Yoshinori KISHIKAWA |
| 2nd Author's Affiliation | Faculty of System Science and Technology, Akita Prefectural University |
| 3rd Author's Name | Shozo TOKINAGA |
| 3rd Author's Affiliation | Graduate School of Economics, Kyushu University |
| Date | 2005-09-16 |
| Paper # | CAS2005-47,NLP2005-60 |
| Volume (vol) | vol.105 |
| Number (no) | 277 |
| Page | pp.pp.- |
| #Pages | 5 |
| Date of Issue | |