Articles by Nikolai Nowaczyk
相関する数量のバックテスト
サンプルを非相関化し、より高い識別力を得るためのテクニックを紹介します。
Dynamic initial margin estimation based on quantiles of Johnson distributions
The authors compare JLSMC DIM estimates with those produced by two other methods, finding that the JLSMC algorithm is accurate and efficient, producing results comparable with nested Monte Carlo with an order of magnitude less computational effort.