Hi,
if anyone of you is familiar with the Importance sampling method Glasserman et al. uses in their paper for VaR estimation, I would appreciate if he or she could send me a pm.
I trying to solve my problem finding the right twisting parameter. I have tried different approaches the last 3 days, however, I was not able to solve the problem.
Thanks in advance!
if anyone of you is familiar with the Importance sampling method Glasserman et al. uses in their paper for VaR estimation, I would appreciate if he or she could send me a pm.
I trying to solve my problem finding the right twisting parameter. I have tried different approaches the last 3 days, however, I was not able to solve the problem.
Thanks in advance!
