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    Article

    Markov chain importance sampling for minibatches

    This study investigates importance sampling under the scheme of minibatch stochastic gradient descent, under which the contributions are twofold. First, theoretically, we develop a neat tilting formula, which ...

    Cheng-Der Fuh, Chuan-Ju Wang, Chen-Hung Pai in Machine Learning (2024)

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    Article

    Efficient exponential tilting with applications

    To minimize the variance of Monte Carlo estimators, we develop a novel exponential embedding technique that extends the classical concept of sufficient statistics in importance sampling. Our method demonstrate...

    Cheng-Der Fuh, Chuan-Ju Wang in Statistics and Computing (2024)

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    Article

    Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events

    Importance sampling is a powerful variance reduction technique for rare event simulation, and can be applied to evaluate a portfolio’s Value-at-Risk (VaR). By adding a jump term in the geometric Brownian motio...

    Cheng-Der Fuh, Huei-Wen Teng, Ren-Her Wang in Computational Economics (2018)

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    Reference Work Entry In depth

    Statistics Methods Applied in Employee Stock Options

    This study presents model-based and compensation-based approaches to determining the price-subjective value of employee stock options (ESOs). In the model-based approach, we consider a utility-maximizing model...

    Li-jiun Chen, Cheng-der Fuh in Handbook of Financial Econometrics and Statistics (2015)

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    Article

    The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model

    We consider two competing financial state space models and investigate whether additional information in the form of option price data is helpful to the estimation of either the unobservable state variable (vo...

    Ren-Her Wang, John A. D. Aston, Cheng-Der Fuh in Computational Economics (2010)

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    Chapter

    Arbitrage Detection from Stock Data: An Empirical Study

    In this paper, we discuss the problems of arbitrage detection, which is known as change point detection in statistics. There are some classical methods for change point detection, such as the cumulative sum (C...

    Cheng-Der Fuh, Szu-Yu Pai in Handbook of Quantitative Finance and Risk Management (2010)

  7. No Access

    Article

    Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk

    Many empirical studies suggest that the distribution of risk factors has heavy tails. One always assumes that the underlying risk factors follow a multivariate normal distribution that is a assumption in confl...

    Shih-Kuei Lin, Ren-Her Wang, Cheng-Der Fuh in Asia-Pacific Financial Markets (2006)