Rongda Chen, Jinrong Lu. Nonlinear VaR Model of FX Options Portfolio Based on Importance Sampling Technique. In Shouyang Wang, Lean Yu, Fenghua Wen, Shaoyi He, Yong Fang, K. K. Lai, editors, Business Intelligence: Artificial Intelligence in Business, Industry and Engineering, Proceedings of the Second International Conference on Business Intelligence and Financial Engineering, BIFE 2009, Beijing, China, 24-26 July 2009. pages 386-390, IEEE Computer Society, 2009. [doi]
Abstract is missing.