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  1. No Access

    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)

  2. No Access

    Chapter and Conference Paper

    Integrating Curriculum and Instruction System Based on Objective Weak Tie Approach

    In order to improving the quality of higher education, sever strategies or models are proposed from universities. Evaluation system is one of these strategies for checking the performance and kee** the high ...

    Chia-Ling Hsu, Hsuan-Pu Chang, Ren-Her Wang… in Computational Collective Intelligence. Tec… (2012)

  3. No Access

    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)

  4. 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)