We introduce and study a randomized quasi-Monte Carlo method for estimating the state distribution at each step of a Markov chain. The number of steps in the chain can be random an...
Abstract Research in information security, risk management and investment has grown in importance over the last few years. However, without reliable estimates on attack probabiliti...
In the KL divergence framework, the extended language modeling approach has a critical problem estimating a query model, which is the probabilistic model that encodes user’s inf...
The paper presents an overview of financial applications of copulas. Copulas permit to represent joint distribution functions by splitting the marginal behavior, embedded in the ma...
The theoretical price of a financial option is given by the expectation of its discounted expiry time payoff. The computation of this expectation depends on the density of the val...