Density modeling is notoriously difficult for high dimensional data. One approach to the problem is to search for a lower dimensional manifold which captures the main characteristi...
We discuss efficient Monte Carlo (MC) methods for the estimation of convex risk measures within the portfolio credit risk model CreditMetrics. Our focus lies on the Utilitybased ...
Many social networks can be characterized by a sequence of dyadic interactions between individuals. Techniques for analyzing such events are of increasing interest. In this paper,...
Predicting the "Value at Risk" of a portfolio of stocks is of great significance in quantitative finance. We introduce a new class models, "dynamical products of ex...
Traditional Chinese medicine (TCM) is an important avenue for disease prevention and treatment for the Chinese people and is gaining popularity among others. However, many remain s...
Nevin Lianwen Zhang, Shihong Yuan, Tao Chen, Yi Wa...