Cheng-der Fuh

Academia Sinica

Nankang

Taipei, 11529

Taiwan

SCHOLARLY PAPERS

3

DOWNLOADS

399

TOTAL CITATIONS

3

Scholarly Papers (3)

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1.

Efficient Computation of Value at Risk with Heavy-Tailed Risk Factors

22nd Australasian Finance and Banking Conference 2009
Number of pages: 24 Posted: 25 Aug 2009
Cheng-der Fuh, Inchi Hu, Kate Hsu and Ren-Her Wang
Academia Sinica, Hong Kong University of Science & Technology (HKUST) - Department of Information & Systems Management, University of Illinois at Urbana-Champaign and Department of Finance, National Taiwan University
Downloads 162 (394,697)
Citation 2

Abstract:

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Importance sampling, moderate deviation, multivariate t distribution, quadratic approximation, component VaR

2.

ESO Compensation: The Roles of Default Risk and Over-Confidence

Number of pages: 40 Posted: 15 Jun 2006
Charles Chang, Cheng-der Fuh and Kate Hsu
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Academia Sinica and University of Illinois at Urbana-Champaign
Downloads 149 (423,340)

Abstract:

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stock options, over-confidence, default model, jump diffusion

3.

A General Framework for Importance Sampling with Latent Markov Processes

Number of pages: 59 Posted: 01 Dec 2023
Cheng-der Fuh, Yanwei Jia and Steven Kou
Academia Sinica, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Boston University
Downloads 88 (624,766)
Citation 1

Abstract:

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rare-event simulation, importance sampling, latent Markov processes